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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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AccessEcon
2010
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| Subjects: | |
| 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 |
| Summary: | 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 markets follow a random walk process. However, further
analysis on individual series show that the majority of stock prices in emerging markets are governed by a mean
reverting process. This result, which is inconsistent with efficient market hypothesis, suggests that past information is useful in predicting future prices in most of the markets. |
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