Random Walk in the MIST |
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| Authors: | Ginny Ju-Ann Yang Chingnun Lee |
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| Institution: | 1. National Kaohsiung First University of Science and Technology, Kaohsiung City, Taiwan;2. National Sun Yat-sen University, Kaohsiung, Taiwan |
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| Abstract: | The term MIST has been coined to describe the next tier of large emerging economies, namely Mexico, Indonesia, South Korea, and Turkey. This article reexamined whether the properties of mean reversion for stock prices held for the MIST emerging stock markets using the sample from April 2004 to April 2012. The authors utilized a panel unit test with Fourier transformation capable of taking multiple structural breaks into account to discover that MIST stock markets indeed follow a random walk process. This is consistent with the efficient market hypothesis, suggesting that historical information is not useful in predicting future prices in MIST stock markets. |
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| Keywords: | MIST panel unit root test with Fourier efficient market hypothesis |
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