search query: @indexterm STRUCTURAL CHANGE / total: 382
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| Author: | Chaudhuri, K. Wu, Y. |
| Title: | Random walk versus breaking trend in stock prices: evidence from emerging markets |
| Journal: | Journal of Banking and Finance
2003 : APR, VOL. 27:4, p. 575-592 |
| Index terms: | Emerging markets Liberalization Structural change |
| Language: | eng |
| Abstract: | The paper investigates whether stock-price indexes of seventeen emerging markets can be characterized as random walk (unit root) or mean reversion processes. The authors implement a test that can account for structural breaks in the underlying series. They find that for fourteen countries, stock prices exhibit structural breaks. For ten countries, the null hypothesis of a random walk can be rejected at the one or 5% significance level. |
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