Random Walk and Multiple Structural Breaks In Thai Stock Market

Chancharat, Surachai and Kamalian, Amin Reza and Valadkhani, Abbas (2009): Random Walk and Multiple Structural Breaks In Thai Stock Market. Published in: Empirical Economics Letters , Vol. 8, No. 5 (2009): pp. 501-506.

Abstract

The Zivot and Andrews (1992) one-break and Lumsdaine and Papell (1997) two-break unit root tests are used to investigate the random walk hypothesis in Thai stock prices for the period December 1987 to December 2005. The results provide strong evidence that the Thai stock prices are characterized by a random walk, supporting this view that it is highly unlikely to make windfall profits in the Thai stock market using past price movements. Moreover, the dates of the endogenously determined structural break interestingly coincided with the Asian crisis and world recessions.

• Item Type: MPRA Paper
• Language: English
• Keywords: Stock Market Management; Random Walk; Structural Break; Thailand.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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