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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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 |
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Asia |
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Malaysia |
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Universit Sains Islam i Malaysia |
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| language |
English |
| topic |
Accounting information system; Information technology; Organization; System; University |
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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 |
13.251813 |