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

DOI10.1016/j.matcom.2007.03.003zbMath1133.91529OpenAlexW1574541420MaRDI QIDQ2483549

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

efficient market hypothesisstock pricesLagrangian multiplier panel unit root test

Mathematics Subject Classification ID

Related Items (1)

Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

Cites Work

• The behaviour of US stock prices: Evidence from a threshold autoregressive model
• Brownian Motion in the Stock Market

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