Random Walk and Multiple Structural Breaks In Thai Stock Market

The Zivot and Andrews (1992) one-break and Lumsdaine and Papell (1997) two-break unit root tests are used to investigate the random walk hypothesis in Thai stock prices for the period December 1987 to December 2005. The results provide strong evidence that the Thai stock prices are characterized by a random walk, supporting this view that it is highly unlikely to make windfall profits in the Thai stock market using past price movements. Moreover, the dates of the endogenously determined structural break interestingly coincided with the Asian crisis and world recessions.

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Year of publication:	2009
Authors:	Chancharat, Surachai ; Kamalian, Amin Reza ; Valadkhani, Abbas
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Stock Market Management \| Random Walk \| Structural Break \| Thailand

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Empirical Economics Letters 5.8(2009): pp. 501-506
Classification:	C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011113578