Do shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change

DOI10.1016/J.MATCOM.2007.03.003MaRDI QIDQ2483549zbMATH OpenOpenAlexFDO

Authors Paresh Kumar Narayan

Publication date 28 April 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2007.03.003

zbMATH Keywords

stock pricesefficient market hypothesisLagrangian multiplier panel unit root test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks
• The behaviour of US stock prices: Evidence from a threshold autoregressive model
• Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• Unit root tests on real wage panel data for the G7

Cites work

• Brownian motion in the stock market
• The behaviour of US stock prices: Evidence from a threshold autoregressive model

Cited in

(4)

• Market shocks in the G7 countries
• The shifting dependence dynamics between the G7 stock markets
• Are shocks to foreign investment in developing countries permanent or temporary?: Evidence from panel unit root tests
• Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

This page was built for publication: Do shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2483549)