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

DOI10.1016/J.MATCOM.2007.03.003zbMATH Open1133.91529OpenAlexW1574541420MaRDI QIDQ2483549FDOQ2483549

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

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zbMATH Keywords

stock pricesefficient market hypothesisLagrangian multiplier panel unit root test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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

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