Title

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.

Comments

Journal of the Asia Pacific Economy, Vol. 4, No. 3 (1999): 431-445. DOI.

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