10.5937/ekonhor1403225g = Analyzing the efficient market hypothesis with the Fourier unit root tests: Evidence from G-20 countries

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

purchasing power parity hypothesis in oic countries: evidence from panel unit root tests with heterogeneous structural breaks

Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries

There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes; at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unre...

Efficient Tests for an Autoregressive Unit Root

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Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen. The method allows us to simultaneously consider non-stationarity and nonlinearity in financial time series. Our finding indicates that the Shanghai stock ma...