Structural breaks and testing for the random walk hypothesis in international stock pricesFaculty of Commerce - Papers (Archive)
AbstractThis 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 InformationS. 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/