Weak-Efficient Market Hypothesis for Nine Transition Countries－Sequential Panel Selection Method

• Main Authors: I -Chuai, 熊益釧
• Other Authors: TSANG-YAO CHANG
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/79y3pw

碩士 === 逢甲大學 === 金融碩士在職專班 === 100 === ABSTRACT This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to investigate the time-series properties of stock prices for the nine transition countries during the 2000.10 to 2010.11 period. SPSM classifies the whole panel into a group of stationary series and a group of non-stationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results form the SPSM using the Panel KSS unit root test (Ucar and Omay, 2009), with a Fourier function indicate that the null hypothesis of I(1) unit root in stock prices can not be rejected for all the transition countries under study. These results indicate these nine transition markets are efficient in the weak-form.