MUNIR, QAISER; CHING, KOK SOOK; FUROUKA, FUMITAKA; … - In: The Singapore Economic Review (SER) 57 (2012) 03, pp. 1250021-1
The efficient market hypothesis (EMH), which suggests that returns of a stock market are unpredictable from historical price changes, is satisfied when stock prices are characterized by a random walk (unit root) process. A finding of unit root implies that stock returns cannot be predicted. This...