Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests

Narayan, Paresh Kumar and Smyth, Russell 2007, Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests, Journal of international financial markets, institutions and money, vol. 17, no. 2, pp. 152-166.

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Title Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests
Author(s) Narayan, Paresh Kumar
Smyth, Russell
Journal name Journal of international financial markets, institutions and money
Volume number 17
Issue number 2
Start page 152
End page 166
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2007-04
ISSN 1042-4431
1873-0612
Keyword(s) random walk
stock prices
structural break
Summary This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results support the random walk hypothesis. We also consider the implications of the identified structural breaks for movement in stock prices over time. Our main conclusion from this exercise is that the second break in stock prices has had a detrimental effect on movements in stock prices in the G7 countries.
Language eng
Field of Research 140210 International Economics and International Finance
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30018609

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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