MEAN REVERSION IN STOCK PRICES OF G7 COUNTRIES: EVIDENCE FROM PANEL SURADF AND PANEL SURKSS TESTS

被引：0

作者：

Yilanci, Veli ^{[1
]}

机构：

[1] Istanbul Univ, Fac Econ, Dept Econometr, Istanbul, Turkey

来源：

ACTUAL PROBLEMS OF ECONOMICS | 2012年 / 131期

关键词：

mean reversion; nonlinearity; panel SURADF test; panel SURKSS test; stock prices; UNIT-ROOT TESTS;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this study we investigate the behaviour of stock prices in G7 countries for 2000:01-2007:12 period employing panel SURADF and panel SURKSS tests. While the results of panel SURADF test show each member of the panel has a unit root, the results of panel SURKSS test indicate only the stock prices of the UK and the US are nonlinear stationary which indicate that abnormal returns can be earned at these stock markets by predicting future prices using past movements of the prices.

引用

页码：380 / 385

页数：6

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