haku: @author Wu, Y. / yhteensä: 13
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| Tekijä: | Chaudhuri, K. Wu, Y. |
| Otsikko: | Random walk versus breaking trend in stock prices: evidence from emerging markets |
| Lehti: | Journal of Banking and Finance
2003 : APR, VOL. 27:4, p. 575-592 |
| Asiasana: | Emerging markets Liberalization Structural change |
| Kieli: | eng |
| Tiivistelmä: | 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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