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Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets

Narayan, Paresh Kumar and Smyth, Russell 2006, Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets, Applied financial economics letters, vol. 2, no. 1, pp. 1-7.

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Title Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets
Author(s) Narayan, Paresh Kumar
Smyth, Russell
Journal name Applied financial economics letters
Volume number 2
Issue number 1
Start page 1
End page 7
Publisher Routledge
Place of publication London, England
Publication date 2006-01
ISSN 1744-6554
Summary This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2006, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30018533

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Tue, 08 Sep 2009, 11:32:31 EST by Gabrielle Lamb