Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks

Author:

Lee Chien-Chiang,Lee Jun-De,Lee Chi-Chuan

Publisher

Elsevier BV

Subject

Political Science and International Relations,Economics and Econometrics,Finance

Reference51 articles.

1. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1988

2. Nonstationary expected returns: implications for tests of market efficiency and serial correlations in returns;Ball;Journal of Financial Econmics,1989

3. Problems in measuring portfolio performance: an application to contrarian investment strategies;Ball;Journal of Finance,1995

4. Some cautions on the use of panel methods for integrated series of macro-economic data;Banerjee;Econometrics Journal,2004

5. Testing for PPP: should we use panel methods?;Banerjee;Empirical Economics,2005

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