AN INVESTIGATION OF EFFICIENT MARKET HYPOTHESIS IN OECD COUNTRIES

被引：0

作者：

Karadeniz, Erdinc ^{[2
]}

Ozturk, Ilhan ^{[1
]}

Iskenderoglu, Omer ^{[3
]}

机构：

[1] Cag Univ, Fac Econ & Business, TR-33800 Yenice, Mersin, Turkey

[2] Mersin Univ, Sch Tourism & Hotel Management, Mersin, Turkey

[3] Nigde Univ, Fac Econ & Adm Sci, Dept Business Adm, Nigde, Turkey

来源：

ACTUAL PROBLEMS OF ECONOMICS | 2012年 / 129期

关键词：

random walk; structural break; mean reversion; efficient market hypothesis; UNIT-ROOT TESTS; OIL-PRICE SHOCK; STOCK-PRICES; MEAN REVERSION; RANDOM-WALKS; TIME-SERIES; BREAKING TREND; GREAT CRASH; PANEL-DATA; POWER;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study aims to investigate whether stock price returns are on a random walk for OECD countries. Using quarterly data for the 2005:1 - 2011:2 period, LM unit root test is employed which endogenously determines up to two structural breaks in level and trend. The empirical findings suggest a combination of random walk and mean reversion results for OECD countries. The results show that efficient market hypothesis (EMH) is confirmed in 13 out of 34 OECD countries. However, with regard to the panel unit root test, the OECD countries share price index returns are mean reverting which highlights the fact that the EMH is not valid.

引用

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页码：398 / 405

页数：8

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