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Nonlinear Mean/Reversion in Stock Prices? A Case of Asian Markets주식가격의 비선형 평균회귀성 분석: 아시안 시장을 중심으로
- Other Titles
- 주식가격의 비선형 평균회귀성 분석: 아시안 시장을 중심으로
- Authors
- 모영규
- Issue Date
- Mar-2013
- Publisher
- 한국국제경영관리학회
- Keywords
- Stock Price Index Deviation; Nonlinear Unit Root Test; inf-t Test; 주식가격지수; 비선형 단위근검증; inf-t 테스트
- Citation
- 국제경영리뷰, v.17, no.1, pp 155 - 171
- Pages
- 17
- Journal Title
- 국제경영리뷰
- Volume
- 17
- Number
- 1
- Start Page
- 155
- End Page
- 171
- ISSN
- 1598-4869
- Abstract
- One of the major assumptions of the contrarian investment strategy is the mean reversion property of the asset prices. Despite of extensive studies, however, empirical evidence of mean reversion in the stock prices still remains elusive. I revisit this issue by applying nonlinear unit root test developed by Park and Shintani (2005, 2010). Using Morgan Stanley Capital International (MSCI) stock price indices for 12 Asian markets, I find that the stock price indices deviations from reference price for Asian markets are not mean-reverting. National 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.
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