Random walk and multiple structural breaks in Thai stock market
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 Thaistock prices for the period December 1987 to December 2005. The results providestrong 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 stockmarket using past price movements. Moreover, the dates of the endogenouslydetermined structural break interestingly coincided with the Asian crisis and worldrecessions.
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