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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
JEL: G0 - Financial Economics: General
 
Manuscript Received : Jun 02 2010 Manuscript Accepted : Nov 11 2010

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