|
| |
| Abd Halim Ahmad, Siti Nurazira Mohd Daud and W.N.W. Azman-Saini |
| |
| ''Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence'' |
| ( 2010, Vol. 30 No.4 ) |
| |
| |
| The purpose of this paper is to re-examine whether mean reversion property hold for 15 emerging stock markets for the period 1985 to 2006. Utilizing a panel stationarity test that is able to account for multiple structural breaks and cross sectional dependence, we find that the emerging stock markets follow a random walk process. However, further analysis on individual series show that the majority of stock prices in emerging markets are governed by a mean reverting process. This result, which is inconsistent with efficient market hypothesis, suggests that past information is useful in predicting future prices in most of the markets. |
| |
| |
| Keywords: Efficient market hypothesis, multiple breaks, cross sectional dependence |
|
| |
| Manuscript Received : Jun 02 2010 | | Manuscript Accepted : Nov 11 2010 |
|
