Shen, Xin; J. Holmes, Mark - In: Studies in Economics and Finance 31 (2014) 4, pp. 387-405
Purpose – This paper investigates whether mean reversion holds for a panel of 16 OECD stock price indices for the period 1970 to 2011. Design/methodology/approach – We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit...