{"title":"Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries","authors":"P. Narayan, Arti Prasad","doi":"10.1108/10867370710817419","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":47355,"journal":{"name":"Economics Bulletin","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2007-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"45","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Bulletin","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/10867370710817419","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 45
Abstract
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.
期刊介绍：
The Economic Bulletin is an open-access letters journal founded in 2001 with the mission of providing free and extremely rapid scientific communication across the entire community of research economists. EB publishes original notes, comments, and preliminary results. We are especially interested in publishingmanuscripts that keep the profession informed about on-going research programs. Our publication standard is that a manuscript be original, correct and of interest to a specialist. Submissions in these categories are refereed and our objective is to make a decision within two months. Accepted papers are published immediately. It is expected that in many cases, manuscripts published in these categories will form the foundation for more complete works to besubsequently submitted to other journals. In all cases, submissions are restricted to seven printed pages exclusive of references, tables, figures, and appendices, and must be in PDF format. EB also publishes non-refereed letters to the editor, conference announcements and research announcements.
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