재귀평균조정을 이용한 역투자전략의 유용성 검증: 아시아 시장을 중심으로

Abstract

Despite of extensive studies, empirical evidence of mean reversion in the stock price still remains elusive. This paper revisits the empirical evidence of mean reversion for asset prices by recursive mean adjustment(RMA) proposed by So and Shin(1999). Using Morgan Stanley Capital International(MSCI) for 12 Asian markets I find that the unit-root test with the RMA estimator cannot reject the null of a unit root for all markets. To extract further information on the dynamics of the stock price indices I compute RMA-based confidence intervals for persistence parameter. No stock index shows less than unity as upper bound at the 90% confidence intervals after correcting bias that implies the stock price indices deviations from reference price for Asian markets are not mean-reverting. This means that the stock price deviations may take infinite time to become halfway to the long-run equilibrium values which serves evidence against the usefulness of contrarian strategy.