Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence

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Abd Halim Ahmad; Siti Nurazira Mohd Daud; W.N.W. Azman-Saini;
(2010)
  • Journal: Economics Bulletin,volume 30,issue 4,pages2,987-2,995
  • Subject: Efficient market hypothesis, multiple breaks, cross sectional dependence
    • jel: jel:G0 | jel:G1

The purpose of this paper is to re-examine whether mean reversion property hold for 15 emerging stock markets for the period 1985 to 2006. Utilizing a panel stationarity test that is able to account for multiple structural breaks and cross sectional dependence, we find ... View more
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