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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/76079


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    題名: Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks
    作者: Lee, C.-C.;Lee, J.-D.;Lee, Chi-Chuan
    李起銓
    貢獻者: 金融系
    關鍵詞: Efficient market hypothesis;Multiple structural breaks;Panel data stationarity test;Real stock price;Unit root
    日期: 2010-01
    上傳時間: 2015-06-29 17:02:06 (UTC+8)
    摘要: This paper investigates whether the efficient market hypothesis holds in stock markets under different economic development levels over the period January 1999 to May 2007. We employ a state-of-the-art panel data stationarity test which incorporates multiple structural breaks. Evidence indicates that when accommodating general forms of cross-sectional dependence as well as controlling for finite-sample bias, the real stock price series appear to be stationary in 32 developed and 26 developing countries, respectively, which is in sharp contrast to the findings in the existing literature. Thus, real stock price indices are stationary processes that are inconsistent with the efficient market hypothesis. This shows the presence of profitable arbitrage opportunities among stock markets. According to these estimated structural breakpoints, we are also able to discover the reason for why there has been a huge impact from past stock prices. © 2009 Elsevier B.V. All rights reserved.
    關聯: Japan and the World Economy, 22(1), 49-58
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.japwor.2009.04.002
    DOI: 10.1016/j.japwor.2009.04.002
    顯示於類別:[金融學系] 期刊論文

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