Deakin home > Deakin University Library > Deakin Research Online > Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change

Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change

Narayan, Paresh Kumar 2008, Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change, Mathematics and computers in simulation, vol. 77, no. 4, pp. 369-373.

Attached Files (Some files may be inaccessible until you login with your Deakin Research Online credentials)
Name Description MIMEType Size Downloads

Title Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change
Author(s) Narayan, Paresh Kumar
Journal name Mathematics and computers in simulation
Volume number 77
Issue number 4
Start page 369
End page 373
Publisher Elsevier Ltd.
Place of publication Amsterdam, The Netherlands
Publication date 2008-04-04
ISSN 0378-4754
1872-7166
Keyword(s) stock prices
efficient market hypothesis
lagrangian multiplier panel unit root test
Summary There is a plethora of studies that investigate evidence for the behaviour of stock prices using univariate techniques for unit roots. Whether or not stock prices are characterised by a unit root have implications for the efficient market hypothesis, which asserts that returns of a stock market are unpredictable from previous price changes. The extant literature has found mixed evidence on the integrational properties of stock prices. In this paper, for the first time, we provide evidence on the unit root hypothesis for G7 stock price indices using the Lagrangian multiplier panel unit root test that allows for structural breaks. Our main finding is that stock prices are stationary processes, inconsistent with the efficient market hypothesis.
Language eng
Field of Research 140207 Financial Economics
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2008
Copyright notice ©2008, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30017258

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in Deakin Research Online is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 10 times in TR Web of Science
Scopus Citation Count Cited 15 times in Scopus
Access Statistics: 379 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Fri, 14 Aug 2009, 13:51:24 EST