Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests

We investigate the stationarity of daily real stock prices in 12 Asia-Pacific countries over period 1991–2020. The methodology employed is driven by need to address three key concerns: (i) identification association between size shocks and stationarity; (ii) different speeds adjustment towards long-run equilibrium; (iii) mean reversion potential asymmetric speed before after 2008–2009 global financial crisis. To meet these concerns, we examine time series properties high frequency data within a quantile unit root testing framework. Our results generally indicate that are stationary at higher quantiles. There also evidence asymmetries price dynamic adjustments upper quantiles, which larger associated with faster reversion, conversely, smaller non-stationarity. Further analysis indicates became much more reverting crisis for all sample countries.