Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence

Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence

The purpose of this paper is to re-examine whether mean reversion property hold for 15 emerging stock markets for the period 1985 to 2006. Utilizing a panel stationarity test that is able to account for multiple structural breaks and cross sectional dependence, we find that the emerging stock marke...

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Bibliographic Details
Main Authors: Ahmad, Abd Halim, Mohd Daud, Siti Nurazira, W.N.W., Azman-Saini
Format: Article
Language:English
Published: AccessEcon 2010
Subjects:
HB Economic Theory
HC Economic History and Conditions
Online Access:http://repo.uum.edu.my/3901/1/aH.pdf
http://repo.uum.edu.my/3901/
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P274.pdf
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Institution: Universiti Utara Malaysia
Language: English

Internet

http://repo.uum.edu.my/3901/1/aH.pdf
http://repo.uum.edu.my/3901/
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P274.pdf

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