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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語言:English
出版: 2017
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在線閱讀:http://ddms.usim.edu.my:80/jspui/handle/123456789/15332
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