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Nonlinear Mean/Reversion in Stock Prices? A Case of Asian Markets주식가격의 비선형 평균회귀성 분석: 아시안 시장을 중심으로

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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
Journal Title
국제경영리뷰
Volume
17
Number
1
Start Page
155
End Page
171
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/6430
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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