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- W1993670616 abstract "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." @default.
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- W1993670616 date "2010-01-01" @default.
- W1993670616 modified "2023-10-01" @default.
- W1993670616 title "Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks" @default.
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- W1993670616 doi "https://doi.org/10.1016/j.japwor.2009.04.002" @default.
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