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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 market...

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Main Authors:	Ahmad A.H., Mohd Daud S.N.M., Azman-Saini W.N.W.
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Language:	English
Published:	2017
Subjects:	Accounting information system; Information technology; Organization; System; University
Online Access:	http://ddms.usim.edu.my:80/jspui/handle/123456789/15332
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spelling	my.usim-153322017-10-27T04:54:09Z Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence Ahmad A.H., Mohd Daud S.N.M. Azman-Saini W.N.W. Accounting information system; Information technology; Organization; System; University 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. 2017-10-27T04:54:09Z 2017-10-27T04:54:09Z 2014 15452921 http://ddms.usim.edu.my:80/jspui/handle/123456789/15332 en
institution	Universiti Sains Islam Malaysia
building	USIM Library
collection	Institutional Repository
continent	Asia
country	Malaysia
content_provider	Universit Sains Islam i Malaysia
content_source	USIM Institutional Repository
url_provider	http://ddms.usim.edu.my/
language	English
topic	Accounting information system; Information technology; Organization; System; University
spellingShingle	Accounting information system; Information technology; Organization; System; University Ahmad A.H., Mohd Daud S.N.M. Azman-Saini W.N.W. Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
description	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.
format
author	Ahmad A.H., Mohd Daud S.N.M. Azman-Saini W.N.W.
author_facet	Ahmad A.H., Mohd Daud S.N.M. Azman-Saini W.N.W.
author_sort	Ahmad A.H., Mohd Daud S.N.M.
title	Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
title_short	Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
title_full	Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
title_fullStr	Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
title_full_unstemmed	Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
title_sort	efficient market hypothesis in emerging markets: panel data evidence with multiple breaks and cross sectional dependence
publishDate	2017
url	http://ddms.usim.edu.my:80/jspui/handle/123456789/15332
_version_	1645153893202526208
score	13.211869

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

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