Mean Reverting Behavior of Stock Returns: Evidence from a Panel of Asian and Pacific Basin Countries
Document Type
Article
Language
eng
Format of Original
15 p.
Publication Date
1999
Publisher
Taylor & Francis (Routledge)
Source Publication
Journal of the Asia Pacific Economy
Source ISSN
1354-7860
Abstract
This study uses the seemingly-unrelated regression method in panel data to test for the mean-reversion behavior in stock returns in eight Asian and Pacific Basin markets: Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand. The empirical evidence suggests that an investor cannot use the information contained in stock performances in precious periods to consistently earn abnormal profits. A fundamental implication of the efficient market theory is that successive security returns are serially independent. Hence the empirical evidence is consistent with the spirit of the efficiency market theory. This would suggest a hands-off approach for the policy-makers with regard to the equity market in these countries.
Recommended Citation
Chowdhury, Abdur, "Mean Reverting Behavior of Stock Returns: Evidence from a Panel of Asian and Pacific Basin Countries" (1999). Economics Faculty Research and Publications. 65.
https://epublications.marquette.edu/econ_fac/65
Comments
Journal of the Asia Pacific Economy, Vol. 4, No. 3 (1999): 431-445. DOI.