Phengpis, Chanwit - In: Applied Financial Economics 16 (2006) 13, pp. 931-939
This study re-examines the univariate property of stock market price indices in ten emerging markets which are evidenced by prior empirical work, specifically by Chaudhuri and Wu (2003), to be I(0) or stationary. Important findings from variants of standard Dickey and Fuller (1979, 1981) and...