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

journal contribution
posted on 2006-01-01, 00:00 authored by Paresh Narayan, R Smyth
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.

History

Journal

Applied financial economics letters

Volume

2

Issue

1

Pagination

1 - 7

Publisher

Routledge

Location

London, England

ISSN

1744-6554

eISSN

1744-6546

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2006, Taylor & Francis

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