The random walk of stock prices: evidence from a panel of G-7 countries

Zhen Zhu

Applied Economics Letters, 1998, vol. 5, issue 7, 411-413

Abstract: It seems that the random-walk property of stock prices is well established. However, some studies argue that the mean reversion of the stock prices has its theoretical and empirical support and the conventional unit-root tests have weak power against stationary alternatives. This paper uses unit-root tests in panel data to re-examine the time-series properties of the stock prices as it is claimed that the method can increase the power of the tests substantially even with a small number of cross sections. The test result suggests that we cannot reject the random-walk hypothesis for G-7 country stock-price indices.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:5:y:1998:i:7:p:411-413

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/135048598354528

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().