Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

Yang-Cheng Lu, Tsangyao Chang, Ken Hung and Wen-Chi Liu

Mathematics and Computers in Simulation (MATCOM), 2010, vol. 80, issue 10, 2019-2025

Abstract: In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000–2007 period. The empirical results from numerous earlier panel-based unit root tests which do not take structural breaks into account indicate that stock prices for all the countries we study here are non-stationary; but when we employ panel stationary test with structural breaks, we find the null hypothesis of I(0) stationarity in stock prices cannot be rejected for any of the G-7 stock markets. Our results indicate that the efficient market hypothesis does not hold in these G-7 stock markets.

Keywords: Mean reversion; Stock prices; G-7 stock markets; Panel stationary test with structural breaks (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:80:y:2010:i:10:p:2019-2025

DOI: 10.1016/j.matcom.2010.02.010

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