English, Article edition: Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks Hooi Hooi Lean; Russell Smyth

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks
Author
  • Hooi Hooi Lean
  • Russell Smyth
Physical Description
  • article
Notes
  • This paper applies univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to examine the random walk hypothesis for stock prices in eight Asian countries. The results from the univariate LM unit root tests and panel LM unit root test with one structural break suggest that stock prices in each country is characterized by a random walk, but the findings from the panel LM unit root test with two structural breaks suggest that stock prices in the eight countries are mean reverting.
  • Random walk, stock prices, unit root
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:01:p:15-31
Language
  • English
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