Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions

2015 ◽  
Vol 37 ◽  
pp. 157-164 ◽  
Author(s):  
Juan Wang ◽  
Dongxiang Zhang ◽  
Jian Zhang
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Stock Markets ◽  
Unit Root Test ◽  
Mean Reversion ◽  
Stationary Test

Analyzing Dynamic Causal Linkages Between Developed Stock Markets of Spain and Canada

2019 ◽  
pp. 282-293
Keyword(s):  
Stock Markets ◽  
Unit Root Test ◽  
Causality Test ◽  
International Portfolio Diversification ◽  
Long Run ◽  
International Portfolio ◽  
Stationary Test ◽  
Augmented Dickey Fuller ◽  
Developed Stock Markets ◽  
Bds Test

The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the sample period between June 1993 and December 2013. The financial econometrics empirical research includes the Unit Root Test, the Augmented Dickey-Fuller stationary test, the BDS test and the Granger causality test. The empirical results provide a useful framework on international portfolio diversification and risk management.

TESTING FOR THE EFFICIENT MARKET HYPOTHESIS IN STOCK PRICES: INTERNATIONAL EVIDENCE FROM NONLINEAR HETEROGENEOUS PANELS

2013 ◽  
Vol 18 (4) ◽  
pp. 943-958 ◽  
Author(s):  
Chien-Chiang Lee ◽  
Ching-Chuan Tsong ◽  
Cheng-Feng Lee
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Stock Price ◽  
Unit Root Test ◽  
Efficient Market Hypothesis ◽  
Global Scale ◽  
Order Zero ◽  
Efficient Market ◽  
Modeling And Forecasting ◽  
International Data

Using international data, this paper explores whether the efficient market hypothesis for real stock prices is supported for different panels. The stationarity of a real stock price has important implications for modeling and forecasting financial activities. On a global scale, we implement the recently developed nonlinear heterogeneous panel unit root test, which allows us to account for possible nonlinearity and cross-section dependence and to identify how many and which countries of the panel contain a unit root. The primary conclusion is that the stationarity of real stock prices varies between regions and levels of economic development. Overall, our empirical results illustrate that real stock prices in these countries are a mixture of stationary (integrated of order zero) and nonstationary (integrated of order one) processes.

Study on the Date Generation Process of Chinese Thermal Power

2011 ◽  
Vol 128-129 ◽  
pp. 1234-1237
Author(s):  
Han Li Chen ◽  
Tao Qin
Keyword(s):  
Electricity Market ◽  
Unit Root ◽  
Stationary Process ◽  
Thermal Power ◽  
Unit Root Test ◽  
Power Source ◽  
Change Model ◽  
Generation Process ◽  
Stationary Test ◽  
The Impact

In China, the thermal power is the main structure of power source. We consider that analysis thermal power’s date generation process is very important to precise planning of thermal power and whole electricity market. For testing the impact of inspection and external factors on thermal power, we study date generation process of thermal power by structural change model that carry unit root test and trend stationary test. This conclusion indicates that thermal power’s date generation process is the unit root process of structure change and isn’t trending stationary process.

scholarly journals Random Walk in Emerging Asian Stock Markets

2016 ◽  
Vol 9 (1) ◽  
pp. 20
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Random Walk ◽  
Unit Root ◽  
Stock Prices ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Unit Root Tests ◽  
Optimal Test ◽  
Market Prices ◽  
Crisis Period ◽  
Random Walk Hypothesis

<p>The random walk hypothesis is an important area of research in finance and many tools have been proposed to investigate the behaviour of the fluctuations in stock prices. However, a detail study on emerging Asian stock markets which employ the various unit root tests has not been done. In this paper, we employ six different unit root tests such as the Augmented Dickey and Fuller test (1979), Phillips and Perron test (1988), Kwiatkowski-Phillips-Schmidt-Shin test(1992), Dickey-Fuller GLS (ERS) test (1996), Elliot-Rothenberg-Stock Point-Optimal test (1996) and Ng and Perron (2001) unit root tests on 10 emerging Asian stock markets to detect for the presence of a random walk in stock prices. We have conducted the unit root tests during different sub-sample time periods of global financial crisis to check for robustness. To be specific, we have found that during the overall sample period (2001-2015) 8 out of 10 Asian stock markets and during the pre-crisis period (2001-2007) all the 10 Asian stock market prices do follow random walk according to the unit root tests under consideration. However, during the crisis &amp; post-crisis period (2008-2015) we have found only 5 out of 10 Asian markets follow the random walk movement based on unit root tests.</p>

Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields

2019 ◽  
Vol 20 (2) ◽  
pp. 145-152
Author(s):  
Deniz Ilalan ◽  
Özgür Özel
Keyword(s):  
Interest Rates ◽  
Unit Root ◽  
Unit Root Test ◽  
Mean Reversion ◽  
Point Of View ◽  
Bond Yields ◽  
Unit Root Testing ◽  
Augmented Dickey Fuller ◽  
Treasury Bond ◽  
Adf Test

AbstractMean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. We apply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.

scholarly journals Are there Multiple Bubbles in the Stock Markets? Further Evidence from Selected Countries

Ekonomika ◽  
2019 ◽  
Vol 98 (1) ◽  
pp. 81-95 ◽  
Author(s):  
Feyyaz Zeren ◽  
Veli Yilanci
Keyword(s):  
Unit Root ◽  
Stock Markets ◽  
Financial Stability ◽  
Unit Root Test ◽  
Weighted Average ◽  
Early Warning Systems ◽  
Warning Systems ◽  
Data Set ◽  
Multiple Bubbles ◽  
Start Dates

[full article and abstract in English] In this study, the existence of multiple bubbles in 15 selected countries is researched by means of the GSADF unit root test developed by Phillips, Shi, and Yu (2015). The data set consists of a weighted average of the monthly price/earnings ratios with the different start dates for countries whose data could accessed. As a result of the conducted analysis, the existence of multiple bubbles was detected for all the countries examined. The results demonstrate that bubbles in stock markets occur before the local and global crisis periods. We therefore conclude that the GSADF method may be used as one of the early warning systems of a financial crisis. It is significant for policymakers and investors to know these signs in terms of financial stability and profitable investments.

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