Random walk versus multiple trend breaks in stock prices: Evidence from 15 European markets

Applied Financial Economics Letters

Volumn 2, Issue 1, 2006, Pages 1-7

  Narayan, Paresh Kumar ^a   Smyth, Russell ^b  

^a GRIFFITH UNIVERSITY   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33745002255     PISSN: 17446546     EISSN: 17446554     Source Type: Journal    
DOI: 10.1080/17446540500424784     Document Type: Article

References (5)

1. Chaudhuri, K. and Wu, Y. (2003) Random walk versus breaking trend in stock prices: evidence from emerging markets, Journal of Banking and Finance, 27, 575-92.
2. Hall, A. D. (1994) Testing for a unit root in time series with pretest data based model selection. Journal of Business and Economic Statistics, 12, 461-70.
3. Lumsdaine, R. and Papell, D. (1997) Multiple trend breaks and the unit root hypothesis, Review of Economics and Statistics, 79, 212-18.
4. Narayan, P. and Smyth, R. (2005) Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models, Applied Financial Economics, 15(8), 547-56.
5. Zivot, E. and Andrews, D. (1992) Further evidence of the great crash, the oil-price shock and the unit-root hypothesis, Journal of Business and Economic Statistics, 10, 251-70.