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Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions
16 references·4 citing·30 second hop
Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions (2014)Mean reversion in stock prices of seven A…Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesDividend yields and expected stock returns (1988)Dividend yields and expected …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …FİNANSAL GELİŞME VE EKONOMİK BÜYÜME ARASINDAKİ İLİŞKİNİN ARAŞTIRILMASI: TÜRKİYE VE G7 ÜLKELERİ ÜZERİNE BİR DEĞERLENDİRME (2024)FİNANSAL GELİŞME VE EKONOMİK …Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability (2023)Brazilian stock-market effici…Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models (2018)Mean reversion in internation…Do Stock Markets Follow a Random Walk? New Evidence for an Old Question (2018)Do Stock Markets Follow a Ran…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Unit root tests in panel data: asymptotic and finite-sample properties (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A simple panel unit root test in the presence of cross‐section dependence (2007)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1988Mean reversion in stock prices1,888 cited

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1987
Mean Reversion in Stock Prices: Evidence and Implications
1,875 cited

Cited by

  • 2018Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models26 cited
  • 2018Do Stock Markets Follow a Random Walk? New Evidence for an Old Question25 cited
  • 2023Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability22 cited
  • 2024FİNANSAL GELİŞME VE EKONOMİK BÜYÜME ARASINDAKİ İLİŞKİNİN ARAŞTIRILMASI: TÜRKİYE VE G7 ÜLKELERİ ÜZERİNE BİR DEĞERLENDİRME14 cited