Lean, Hooi Hooi; Smyth, Russell - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 01, pp. 15-31
This paper applies univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to examine the random walk hypothesis for stock prices in eight Asian countries. The results from the univariate LM unit root tests and panel LM unit root test with one structural...