Are emerging stock market price indices really stationary?

Chanwit Phengpis

Applied Financial Economics, 2006, vol. 16, issue 13, 931-939

Abstract: This study re-examines the univariate property of stock market price indices in ten emerging markets which are evidenced by prior empirical work, specifically by Chaudhuri and Wu (2003), to be I(0) or stationary. Important findings from variants of standard Dickey and Fuller (1979, 1981) and Zivot and Andrews (1992) unit root tests include: (1) the majority of these price indices can be more appropriately regarded as I(1) or non-stationary, and (2) the I(1) processes in these price indices have been increasingly discernible over time. These results imply non-mean reversion in stock market prices and unpredictability based on past prices in the majority of emerging stock markets under investigation.

Date: 2006
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DOI: 10.1080/09603100500386099

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