Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test

Guochen Pan (), Seng-Sung Chen () and Tsangyao Chang
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Guochen Pan: Department of Insurance and Actuarial Science, Economics and Management School of Wuhan University, CHINA
Seng-Sung Chen: Department of Risk Management and Insurance, Feng Chia University, Taichung, TAIWAN.

Journal for Economic Forecasting, 2012, issue 4, 56-67

Abstract: In this study, we use the threshold unit root test proposed by Caner and Hansen (2001) to re-investigate the time-series properties of stock prices for the nine transition countries during the 2000.10 to 2010.11 period. The empirical results from our threshold unit test indicate that the null hypothesis of I(1) unit root in stock prices can not be rejected for any of these transition countries, with the exception of Estonia and Latvia two countries. Our results highlight the efficient market hypothesis does hold in these transition stock markets, with the exception of the Estonia and Latvia two stock markets.

Keywords: Mean Reversion; Stock Prices; Transition Countries; Threshold Unit Test (search for similar items in EconPapers)
JEL-codes: C14 C22 G12 (search for similar items in EconPapers)
Date: 2012
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