Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks

Hooi Hooi Lean () and Russell Smyth

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2007, vol. 10, issue 01, 15-31

Abstract: This paper applies univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to examine the random walk hypothesis for stock prices in eight Asian countries. The results from the univariate LM unit root tests and panel LM unit root test with one structural break suggest that stock prices in each country is characterized by a random walk, but the findings from the panel LM unit root test with two structural breaks suggest that stock prices in the eight countries are mean reverting.

Keywords: Random walk; stock prices; unit root (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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DOI: 10.1142/S0219091507000933

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