Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models

Narayan, Paresh Kumar and Smyth, Russell 2005, Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models, Applied financial economics, vol. 15, no. 8, pp. 547-556.

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Title Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models
Author(s) Narayan, Paresh Kumar
Smyth, Russell
Journal name Applied financial economics
Volume number 15
Issue number 8
Start page 547
End page 556
Total pages 10
Publisher Routledge
Place of publication London, England
Publication date 2005-05
ISSN 0960-3107
Summary This paper examines whether stock prices for a sample of 22 OECD countries can be best represented as mean reversion or random walk processes. A sequential trend break test proposed by Zivot and Andrews is implemented, which has the advantage that it can take account of a structural break in the series, as well as panel data unit root tests proposed by Im et al., which exploits the extra power in the panel properties of the data. Results provide strong support for the random walk hypothesis.
Language eng
Field of Research 150203 Financial Institutions (incl Banking)
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2006, Taylor and Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024726

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