TY  - JOUR
AB  - This paper investigates whether stock‐price indexes of emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a panelbased test that exploits cross‐sectional information from seventeen emerging equity markets during the period January 1985 to April 2002. The gain in power allows us to reject the null hypothesis of random walk in favor of mean reversion at the 5 percent significance level. We find a positive speed of reversion with a half‐life of about 30 months. These results are similar to those documented for developed markets. Our findings provide an interesting comparison to existing studies on more matured markets and reduce the likelihood of earlier mean reversion findings as attributable to data mining.
VL  - 29
IS  - 10
SN  - 0307-4358
DO  - 10.1108/03074350310768490
UR  - https://doi.org/10.1108/03074350310768490
AU  - Chaudhuri Kausik
AU  - Wu Yangru
PY  - 2003
Y1  - 2003/01/01
TI  - Mean reversion in stock prices: evidence from emerging markets
T2  - Managerial Finance
PB  - MCB UP Ltd
SP  - 22
EP  - 37
Y2  - 2024/05/08
ER  -