Skip to main content
Article
Structural breaks and testing for the random walk hypothesis in international stock prices
Faculty of Commerce - Papers (Archive)
  • S. Chancharat, University of Wollongong
  • Abbas Valadkhani, University of Wollongong
RIS ID
19156
Publication Date
1-1-2007
Publication Details

This article was originally published as: Chancharat, S, & Valadkhani, A., Structural breaks and testing for the random walk hypothesis in international stock prices, Journal of the Korean Economy, 8(1), 2007, 21-38.

Abstract

This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour of random walk hypothesis in 14 countries. However, when two endogenously-determined structural breaks are considered, this hypothesis was rejected for only five countries, suggesting a robust conclusion regarding the non-stationarity of stock prices world wide. In addition, the dates of structural break in most cases point to the Asian crisis in the period 1996-1998.

Link to publisher version (URL)
Journal of the Korean Economy
Citation Information
S. Chancharat and Abbas Valadkhani. "Structural breaks and testing for the random walk hypothesis in international stock prices" (2007)
Available at: http://works.bepress.com/abbas/9/