Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Cakan, Esin - In: International Econometric Review (IER) 7 (2015) 1, pp. 13-33
This paper investigates whether daily stock price indices from fourteen emerging markets are random walk (unit root) or mean reverting long memory processes. We use an efficient statistical framework that tests for random walks in the presence of multiple structural breaks at unknown dates. This...