Random Walk and Multiple Structural Breaks In Thai Stock Market

Surachai Chancharat, Amin Reza Kamalian and Abbas Valadkhani

MPRA Paper from University Library of Munich, Germany

Abstract: The Zivot and Andrews (1992) one-break and Lumsdaine and Papell (1997) two-break unit root tests are used to investigate the random walk hypothesis in Thai stock prices for the period December 1987 to December 2005. The results provide strong evidence that the Thai stock prices are characterized by a random walk, supporting this view that it is highly unlikely to make windfall profits in the Thai stock market using past price movements. Moreover, the dates of the endogenously determined structural break interestingly coincided with the Asian crisis and world recessions.

Keywords: Stock Market Management; Random Walk; Structural Break; Thailand. (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

Published in Empirical Economics Letters 5.8(2009): pp. 501-506

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:50395

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