Testing for the Mean Reversion of Chinese Coal Stock Prices
نویسندگان
چکیده
منابع مشابه
Fractional Integration and Mean Reversion in Stock Prices
The Efficient Market Hypothesis (EMH) is frequently tested by measuring the degree of mean reversion in stock prices, since highly predictable changes might indicate that investors are not fully rational. Existing studies often rely on statistical tests which impose too restrictive assumptions on the time series behaviour of the series of interest, and have very low power. This paper uses a tes...
متن کاملan investigation on the presence of mean reversion in stock prices in tehran stock exchange
financial scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reverting processes.by a random walk we mean that accruing shocks to the system have permanent impacts and prices do not revert to their previous trend path, in addition, regarding to random walk processes the price series volatility could increase with out any li...
متن کاملTime-Varying Mean Reversion in Stock Prices: Evidence and Implications for Market Efficiency
This paper investigates changes in the long-horizon behaviour of stock prices. Using a time-varyingparameter framework, we find that any pre-World War II tendency for mean reversion disappearsduring the post-War period. Furthermore, when we account for changes in the market risk premiumdue to dramatic shifts in pre-War return volatility, the full sample evidence for mean reversion i...
متن کاملMean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries
There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes; at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unre...
متن کاملMean reversion in stock market prices : New evidence based on bull and bear markets
In this paperwe testwhethermean reversion in stockmarket prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Research
سال: 2017
ISSN: 2348-0394
DOI: 10.9734/air/2017/33557