Mean Reversion in Asia-Pacific Stock Prices: New Evidence from Quantile Unit Root Tests

Gilbert Nartea, Harold Glenn Valera () and Maria Luisa G. Valera

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: We investigate the stationarity of real stock prices among 12 Asia-Pacific countries over the period 1991–2018. The methodology employed is driven by the need to address three key concerns: (i) the identification of which positive or negative shocks are linked to stationarity; (ii) the identification of different speeds of adjustment towards long-run equilibrium; and (iii) the identification of mean reversion and potential asymmetric speed of adjustment before and after the 2008-2009 global financial crisis. To meet these concerns, we examine the time series properties of the data within a quantile unit root testing framework. Our results generally indicate that real stock prices are stationary at the upper quantiles only. There is also evidence of a varied speed of adjustment process across the quantiles where stationarity is present. Further analysis indicates that real stock prices became much more reverting and with a faster speed of adjustment after the global financial crisis, except for Japan and New Zealand.

Keywords: Stock prices; Mean reversion; Quantile unit root regression (search for similar items in EconPapers)
JEL-codes: C1 C5 G1 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2019-11-01
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-sea
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Journal Article: Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:19/16

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