Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks
In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000-2007 period. The empirical results from numerous earlier panel-based unit root tests which do not take structural breaks into account indicate that stock prices for all the countries we study here are non-stationary; but when we employ panel stationary test with structural breaks, we find the null hypothesis of I(0) stationarity in stock prices cannot be rejected for any of the G-7 stock markets. Our results indicate that the efficient market hypothesis does not hold in these G-7 stock markets. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
mean reversion stock prices panel stationary test with structural breaks g-7 stock markets