English, Article edition: Mean reversion in stock prices: new evidence from panel unit root tests Paresh Kumar Narayan; Seema Narayan

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/8617
Physical Description
  • article
Language
  • English

Edition details

Title
  • Mean reversion in stock prices: new evidence from panel unit root tests
Author
  • Paresh Kumar Narayan
  • Seema Narayan
Physical Description
  • article
Notes
  • Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices. Design/​methodology/​approach – The authors use five different panel unit root tests, namely the Im, Pesaran and Shin t-bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno. Findings – The main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis. Research limitations/​implications – One issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks. Practical implications – The findings have implications for econometric modelling, in particular forecasting. Originality/​value – This paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.
  • Financial forecasting, Stock markets, Stock prices, Stock returns
  • RePEc:eme:sefpps:v:24:y:2007:i:3:p:233-244
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment