Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models

References

• Baltagi , B and Kao , C . 2000 . Nonstationary panels, cointegration in panels and dynamic panels: a survey . Advances in Econometrics , 15 : 7 – 51 .
   Google Scholar
• Balvers , R , Wu , Y and Gilliland , E . 2000 . Mean reversion across national stock markets and parametric contrarian investment strategies . Journal of Finance , 55 : 745 – 72 .
   Web of Science ®Google Scholar
• Chaudhuri , K and Wu , Y . 2003 . Random walk versus breaking trend in stock prices: evidence from emerging markets . Journal of Banking and Finance , 27 : 575 – 92 .
   Web of Science ®Google Scholar
• Chaudhuri , K and Wu , Y . 2004 . Mean reversion in stock prices: evidence from emerging markets . Managerial Finance , 30 : 22 – 31 .
   Google Scholar
• Cochrane , J . 1991 . A critique of the application of unit root tests . Journal of Economic Dynamics and Control , 15 : 275 – 84 .
   Web of Science ®Google Scholar
• DeBondt , W and Thaler , R . 1985 . Does the stock market overreact? . Journal of Finance , 40 : 793 – 805 .
   Web of Science ®Google Scholar
• DeJong , DN , Nankervis , JC , Savin , NE and Whiteman , CH . 1992 . The power problems of unit root tests in time series with autoregressive errors . Journal of Econometrics , 53 : 323 – 43 .
   Web of Science ®Google Scholar
• Fama , E . 1970 . Efficient capital markets: a review of theory and empirical work . Journal of Finance , 25 : 383 – 417 .
   Web of Science ®Google Scholar
• Fama , EF and French , KR . 1988 . Permanent and temporary components of stock prices . Journal of Political Economy , 96 : 246 – 73 .
   Web of Science ®Google Scholar
• Hall , AD . 1994 . Testing for a unit root in time series with pretest data based model selection . Journal of Business and Economic Statistics , 12 : 461 – 70 .
   Web of Science ®Google Scholar
• Hayashi F 2000 Econometrics, Princeton University Press Princeton NJ
   Google Scholar
• Im KS Lee J Tieslau M 2002 Panel LM unit root tests with level shifts mimeo Department of Economics, University of Central Florida
   Google Scholar
• Im , K-S , Pesaran , H and Shin , Y . 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 : 53 – 74 .
   Web of Science ®Google Scholar
• Karlsson , S and Lothgren , M . 2000 . On the power and interpretation of panel unit root tests . Economic Letters , 66 : 249 – 55 .
   Web of Science ®Google Scholar
• Kim , MJ , Nelson , CR and Startz , R . 1991 . Mean reversion of stock prices: a reappraisal of the empirical evidence . Review of Economic Studies , 58 : 515 – 28 .
   Web of Science ®Google Scholar
• Lee , J and Strazicich , MC . 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . The Review of Economics and Statistics , 85 : 1082 – 9 .
   Web of Science ®Google Scholar
• Le Roy , SF . 1982 . Expectations models of asset prices: a survey of theory . Journal of Finance , 37 : 185 – 217 .
   Google Scholar
• Levin A Lin C-F 1992 Unit root tests in panel data: asymptotic and finite sample properties Department of Economics UCSD Discussion Paper 92-23
   Google Scholar
• Lo , AW and MacKinlay , AC . 1988 . Stock market prices do not follow random walks: evidence from a simple specification test . Review of Financial Studies , 1 : 41 – 66 .
   Web of Science ®Google Scholar
• Lumsdaine , R and Papell , D . 1997 . Multiple trend breaks and the unit root hypothesis . Review of Economics and Statistics , 79 : 212 – 18 .
   Web of Science ®Google Scholar
• Luntiel K 2001 Heterogeneous panel unit root tests and purchasing power parity Manchester School Supplement 42 56
   Google Scholar
• MacKinnon J 1991 Critical values for cointegration tests Long-run Economic Relationships: Readings in Cointegration (Eds) R. F. Engle and C. W. Granger Oxford University Press Oxford pp. 267–76
   Google Scholar
• Maddala , GS and Wu , S . 1999 . A comparative study of unit roots with panel data and a new simple test . Oxford Bulletin of Economics and Statistics , 61 : 631 – 51 .
   Web of Science ®Google Scholar
• Malkiel , BG . 2003 . The efficient market hypothesis and its critics . Journal of Economic Perspectives , 17 : 59 – 82 .
   Web of Science ®Google Scholar
• McQueen , G . 1992 . Long-horizon mean reverting stock process revisited . Journal of Financial and Quantitative Analysis , 27 : 1 – 18 .
   Web of Science ®Google Scholar
• Ng , S and Perron , P . 1995 . Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag . Journal of the American Statistical Association , 90 : 268 – 81 .
   Web of Science ®Google Scholar
• O’Connell , P . 1998 . The overvaluation of purchasing power parity . Journal of International Economics , 44 : 1 – 19 .
   Web of Science ®Google Scholar
• Papell , D . 1997 . Searching for stationarity: purchasing power parity under the current float . Journal of International Economics , 43 : 313 – 32 .
   Web of Science ®Google Scholar
• Perron , P . 1989 . The great crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
   Web of Science ®Google Scholar
• Perron , P and Vogelsang , T . 1992 . Non-stationarity and level shifts with an application to purchasing power parity . Journal of Business and Economic Statistics , 10 : 301 – 20 .
   Web of Science ®Google Scholar
• Poterba , JM and Summers , LH . 1988 . Mean reversion in stock prices: evidence and implications . Journal of Financial Economics , 22 : 27 – 59 .
   Web of Science ®Google Scholar
• Richards , AJ . 1995 . Co-movements in national stock market returns: evidence of predictability but not cointegration . Journal of Monetary Economics , 36 : 631 – 54 .
   Web of Science ®Google Scholar
• Richardson , M . 1993 . Temporary components of stock prices: a skeptic's view . Journal of Business and Economics Statistics , 11 : 199 – 207 .
   Web of Science ®Google Scholar
• Richardson , M and Stock , J . 1989 . Drawing inferences from statistics based on multiyear asset returns . Journal of Financial Economics , 25 : 323 – 48 .
   Web of Science ®Google Scholar
• Smyth , R . 2003 . Unemployment hysteresis in Australian states and territories: evidence from panel data unit root tests . Australian Economic Review , 36 : 181 – 92 .
   Google Scholar
• Zhu , Z . 1998 . The random walk of stock prices: evidence from a panel of G7 countries . Applied Economics Letters , 5 : 411 – 13 .
   Web of Science ®Google Scholar
• Zivot , E and Andrews , D . 1992 . Further evidence of the great crash, the oil-price shock and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .
   Web of Science ®Google Scholar