Random Walk in the MIST

REFERENCES

• Ahmad, A. H., Daud, S. N. M., & Azman-Saini, W. N. W. (2010). Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence. Economics Bulletin, 30, 2987–2995.
   Google Scholar
• Bahmani-Oskooee, M., Kutan, A. M., & Zhou, S. (2008). Do real exchange rates follow a nonlinear mean reverting process in developing countries? Southern Economic Journal, 74, 1049–1062.
   Web of Science ®Google Scholar
• Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72, 1127–1177.
   Web of Science ®Google Scholar
• Baum, C. F., Barkoulas, J. T., & Caglayan, M. (2001). Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era. Journal of International Money and Finance, 20, 379–399.
   Web of Science ®Google Scholar
• Becker, R., Enders, W., & Lee, J. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics, 19, 899–906.
   Web of Science ®Google Scholar
• Borges, M. R. (2010). Efficient market hypothesis in European stock markets. European Journal of Finance, 16, 711–726.
   Web of Science ®Google Scholar
• Campbell, J. Y., & Perron, P. (1991). Pitfalls and opportunities: What macroeconomists should know about unit roots. NBER Macroeconomics Annual, 6, 141–201.
   Google Scholar
• Chang, T., Lee, C. H., & Chou, P.-I. (2012). Is per capita real GDP stationary in five southeastern European countries? Fourier unit root test. Empirical Economics, 43, 1073–1082.
   Web of Science ®Google Scholar
• Chang, Y. (2002). Nonlinear IV unit root tests in panels with cross sectional dependency. Journal of Econometrics, 110, 261–292.
   Web of Science ®Google Scholar
• Choi, I. (2002). Combination unit root tests for cross-sectional correlated panels. In Econometric theory and practice: Frontiers of analysis and applied research, essays in honor of P.C.B. Phillips. Cambridge: Cambridge University Press.
   Google Scholar
• Chortareas, G., & Kapetanios, G. (2009). Getting PPP right: Identifying mean-reverting real exchange rates in panels. Journal of Banking and Finance, 33, 390–404.
   Web of Science ®Google Scholar
• Conrad, J., Kaul, G., & Nimalendran, M. (1991). Components of short-horizon individual security returns. Journal of Financial Economics, 29, 365–385.
   Web of Science ®Google Scholar
• DeBondt, W., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40, 793–808.
   Web of Science ®Google Scholar
• DeBondt, W., & Thaler, R. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42, 557–581.
   Web of Science ®Google Scholar
• Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057–1072.
   Web of Science ®Google Scholar
• Enders, W., & Lee, J. (2004). Testing for a unit root with a nonlinear Fourier function (Working Paper). Tuscaloosa, AL: University of Alabama, Department of Economics, Finance and Legal Studies.
   Google Scholar
• Enders, W., & Lee, J. (2009). The flexible Fourier form and testing for unit roots: An example of the term structure of interest rates (Working Paper). Tuscaloosa, AL: University of Alabama, Department of Economics, Finance and Legal Studies.
   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, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22, 3–25.
   Web of Science ®Google Scholar
• Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53–74.
   Web of Science ®Google Scholar
• Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45, 881–898.
   Web of Science ®Google Scholar
• Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65–91.
   Web of Science ®Google Scholar
• Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112, 359–379.
   Web of Science ®Google Scholar
• Levin, A., Lin, C. F., & Chu, C.-S. J. (2002). Unit root in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108, 1–24.
   Web of Science ®Google Scholar
• Liew, V. K.-S., Chong, T. T.-L., & Lim, K. P. (2003). The inadequacy of linear autoregressive models for real exchange rates: Empirical evidence from Asian economies. Applied Economics, 35, 1387–1392.
   Web of Science ®Google Scholar
• Maddala, G. S., & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61, 631–652.
   Web of Science ®Google Scholar
• Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17, 59–82.
   Web of Science ®Google Scholar
• Moon, R., & Perron, B. (2004). Testing for a unit root in panels with dynamic factors. Journal of Econometrics, 122, 81–126.
   Web of Science ®Google Scholar
• Narayan, P. K. (2008). Do shocks to G7 stock prices have a permanent effect?: Evidence from panel unit root tests with structural change. Mathematics and Computers in Simulation, 77, 369–373.
   Web of Science ®Google Scholar
• O’Neill, J. (2001). Building better global economic BRICs. Global Economic Paper, 66, 1–13.
   Google Scholar
• Pascalau, R. (2010). Unit root tests with smooth breaks: An application to the Nelson-Plosser data set. Applied Economics Letters, 17, 565–570.
   Web of Science ®Google Scholar
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361–1401.
   Web of Science ®Google Scholar
• Pesaran, M. H. (2003). A simple panel unit root test in the presence of cross section dependence ( Cambridge Working Papers in Economics 0346). Cambridge, England: University of Cambridge, Faculty of Economics.
   Google Scholar
• Phengpis, C. (2006). Are emerging stock market price indices really stationary? Applied Financial Economics, 16, 931–939.
   Google Scholar
• Sarno, L. (2000). Real exchange rate behavior in the Middle East: A re-examination. Economics Letters, 66, 127–136.
   Web of Science ®Google Scholar
• Schmelzle, M. (2010). Option pricing formulae using Fourier transform: Theory and application. Retrieved from http://pfadintegral.com
   Google Scholar
• Timmermann, A., & Granger, C. W. J. (2004). Efficient market hypothesis and forecasting. International Journal of Forecasting, 20, 15–27.
   Web of Science ®Google Scholar
• Taylor, A. M. (2001). Potential pitfalls for the purchasing-power parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price. Econometrica, 69, 473–498.
   Web of Science ®Google Scholar
• Ucar, N., & Omay, T. (2009). Testing for unit root in nonlinear heterogeneous panels. Economics Letters, 104, 5–8.
   Web of Science ®Google Scholar