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: | , |
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| Language: | English |
| Published: |
2017
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| Online Access: | http://ddms.usim.edu.my:80/jspui/handle/123456789/15332 |
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