Random walk and multiple structural breaks in Thai stock market

Authors

Surachai Chancharat, Khon Kaen UniversityFollow
Amin Reza Kamalian, University of Sistan and BaluchestanFollow
Abbas Valadkhani, University of WollongongFollow

RIS ID

30512

Publication Details

Chancharat, S., Kamalian, A. & Valadkhani, A. (2009). Random walk and multiple structural breaks in Thai stock market. The Empirical Economics Letters, 8 (5), 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 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.

Link to publisher version (URL)

The Empirical Economics Letters