Chancharat, Surachai; Kamalian, Amin Reza; Valadkhani, Abbas - Volkswirtschaftliche Fakultät, … - 2009
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...