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Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence


Ahmad, Abd Halim and Mohd Daud, Siti Nurazira and W.N.W., Azman-Saini (2010) Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence. Economics Bulletin, 30 (4). pp. 2987-2995. ISSN 1545-2921

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Abstract

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.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
Divisions: College of Law, Government and International Studies
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 15 Feb 2012 00:38
Last Modified: 15 Feb 2012 00:38
URI: http://repo.uum.edu.my/id/eprint/3901

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