Are emerging stock market price indices really stationary?
Author InfoChanwit Phengpis Abstract 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. Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help