Structural Breaks, Long Memory, or Unit Roots in Stock Prices: Evidence from Emerging Markets
This paper investigates whether daily stock price indices from fourteen emerging markets are random walk (unit root) or mean reverting long memory processes. We use an efficient statistical framework that tests for random walks in the presence of multiple structural breaks at unknown dates. This...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2015-04-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/10020095.pdf |