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

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dc.citedby3
dc.contributor.affiliationsUniversiti Utara Malaysia (UUM)
dc.contributor.affiliationsUniversiti Sains Islam Malaysia (USIM)
dc.contributor.affiliationsUniversiti Putra Malaysia (UPM)
dc.contributor.authorAhmad A.H.en_US
dc.contributor.authorMohd Daud S.N.M.en_US
dc.contributor.authorAzman-Saini W.N.W.en_US
dc.date.accessioned2024-05-29T01:56:17Z
dc.date.available2024-05-29T01:56:17Z
dc.date.issued2010
dc.description.abstractThe 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.
dc.description.natureFinalen_US
dc.identifier.epage2995
dc.identifier.issn15452921
dc.identifier.issue4
dc.identifier.scopus2-s2.0-79951781575
dc.identifier.spage2987
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-79951781575&partnerID=40&md5=ea1d7de17562fb5dd8fffdd856a76ad5
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/9820
dc.identifier.volume30
dc.languageEnglish
dc.language.isoen_US
dc.relation.ispartofEconomics Bulletin
dc.sourceScopus
dc.titleEfficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
dc.typeArticleen_US
dspace.entity.typePublication

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