Ahmad A.H.Mohd Daud S.N.M.Azman-Saini W.N.W.2024-05-292024-05-292010154529212-s2.0-79951781575https://www.scopus.com/inward/record.uri?eid=2-s2.0-79951781575&partnerID=40&md5=ea1d7de17562fb5dd8fffdd856a76ad5https://oarep.usim.edu.my/handle/123456789/9820The 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.en-USArticle29872995304