MEAN REVERSION IN STOCK PRICES OF G7 COUNTRIES: EVIDENCE FROM PANEL SURADF AND PANEL SURKSS TESTS


Yilanci V.

ACTUAL PROBLEMS OF ECONOMICS, no.131, pp.380-385, 2012 (SSCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2012
  • Journal Name: ACTUAL PROBLEMS OF ECONOMICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), ABI/INFORM, EconLit
  • Page Numbers: pp.380-385
  • Keywords: mean reversion, nonlinearity, panel SURADF test, panel SURKSS test, stock prices, UNIT-ROOT TESTS
  • Çanakkale Onsekiz Mart University Affiliated: No

Abstract

In this study we investigate the behaviour of stock prices in G7 countries for 2000:01-2007:12 period employing panel SURADF and panel SURKSS tests. While the results of panel SURADF test show each member of the panel has a unit root, the results of panel SURKSS test indicate only the stock prices of the UK and the US are nonlinear stationary which indicate that abnormal returns can be earned at these stock markets by predicting future prices using past movements of the prices.