股票价格的均值回归:来自17个欧洲国家面板单位根检验的新证据

IF 0.6 Q3 Economics, Econometrics and Finance

Economics Bulletin Pub Date : 2007-08-13 DOI:10.1108/10867370710817419

P. Narayan, Arti Prasad

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引用次数: 45

摘要

越来越多的文献研究了股票价格均值回归的证据。从经验上看，对于股票价格是均值回归过程还是随机游走过程，目前还没有达成共识，结果好坏参半。在本文中，我们使用Levin和Lin(1992)，看似不相关的回归和多元增广Dickey-Fuller面板单位根检验，为17个欧洲国家的均值回归假设提供了进一步的证据。我们的主要发现是，所有17个欧洲国家的股票价格都具有单位根的特征，这与有效市场假设相一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries

There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unrelated regression and the multivariate augmented Dickey-Fuller panel unit root tests. Our main finding is that stock prices of all seventeen European countries are characterised by a unit root, consistent with the efficient market hypothesis.

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来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

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