文章基本信息

标题：Mean Reversions in Major Developed Stock Markets: Recent Evidence from Unit Root, Spectral and Abnormal Return Studies
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作者：James Nguyen ; Wei-Xuan Li ; Clara Chia-Sheng Chen 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2022
卷号：15
期号：4
页码：1-20
DOI：10.3390/jrfm15040162
语种：English
出版社：MDPI, Open Access Journal
摘要：We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional linear and nonlinear tests, latest multiple-break unit root tests and spectral analysis to test the efficient market hypothesis. Our results show that these stock markets generally are inefficient. We further explored whether the departure from market efficiency can be used to generate profitable trades and found that abnormal returns exist in all three markets. We found evidence of abnormal returns associated with the break dates identified in the models which are correlated with major historical events around the world. Our findings have important implications for investors and policymakers..
关键词：efficient market hypothesis ;unit root ;spectral analysis ;abnormal returns