Deakin University
Browse

File(s) under permanent embargo

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

journal contribution
posted on 2005-05-01, 00:00 authored by Paresh Narayan, R Smyth
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.

History

Journal

Applied financial economics

Volume

15

Issue

8

Pagination

547 - 556

Publisher

Routledge

Location

London, England

ISSN

0960-3107

eISSN

1466-4305

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2006, Taylor and Francis

Usage metrics

    Research Publications

    Categories

    No categories selected

    Keywords

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC