Are emerging stock market price indices really stationary?

This study re-examines the univariate property of stock market price indices in ten emerging markets which are evidenced by prior empirical work, specifically by Chaudhuri and Wu ( 2003 ), to be I(0) or stationary. Important findings from variants of standard Dickey and Fuller ( 1979 , 1981 ) and Zi...

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Bibliographic Details
Published in:Applied financial economics 2006-09, Vol.16 (13), p.931-939
Main Author: Phengpis, Chanwit
Format: Article
Language:English
Subjects:
Economic analysis
Emerging markets
Empirical research
Finance
Market efficiency
Market prices
Price index
Price indexes
Securities markets
Stock exchange
Stock exchanges
Stock prices
Studies
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Summary:This study re-examines the univariate property of stock market price indices in ten emerging markets which are evidenced by prior empirical work, specifically by Chaudhuri and Wu ( 2003 ), to be I(0) or stationary. Important findings from variants of standard Dickey and Fuller ( 1979 , 1981 ) and Zivot and Andrews ( 1992 ) unit root tests include: (1) the majority of these price indices can be more appropriately regarded as I(1) or non-stationary, and (2) the I(1) processes in these price indices have been increasingly discernible over time. These results imply non-mean reversion in stock market prices and unpredictability based on past prices in the majority of emerging stock markets under investigation.
ISSN:0960-3107
1466-4305
DOI:10.1080/09603100500386099