English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91280/121421 (75%)
Visitors : 25386241      Online Users : 24
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/76079
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76079


    Title: Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks
    Authors: Lee, C.-C.;Lee, J.-D.;Lee, Chi-Chuan
    李起銓
    Contributors: 金融系
    Keywords: Efficient market hypothesis;Multiple structural breaks;Panel data stationarity test;Real stock price;Unit root
    Date: 2010-01
    Issue Date: 2015-06-29 17:02:06 (UTC+8)
    Abstract: This paper investigates whether the efficient market hypothesis holds in stock markets under different economic development levels over the period January 1999 to May 2007. We employ a state-of-the-art panel data stationarity test which incorporates multiple structural breaks. Evidence indicates that when accommodating general forms of cross-sectional dependence as well as controlling for finite-sample bias, the real stock price series appear to be stationary in 32 developed and 26 developing countries, respectively, which is in sharp contrast to the findings in the existing literature. Thus, real stock price indices are stationary processes that are inconsistent with the efficient market hypothesis. This shows the presence of profitable arbitrage opportunities among stock markets. According to these estimated structural breakpoints, we are also able to discover the reason for why there has been a huge impact from past stock prices. © 2009 Elsevier B.V. All rights reserved.
    Relation: Japan and the World Economy, 22(1), 49-58
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.japwor.2009.04.002
    DOI: 10.1016/j.japwor.2009.04.002
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    49-58.pdf991KbAdobe PDF531View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback