Lee, Chien-Chiang; Lee, Jun-De; Lee, Chi-Chuan - In: Japan and the World Economy 22 (2010) 1, pp. 49-58
This paper investigates whether the efficient market hypothesis holds in stock markets under different economic development levels over the period January 1999 to May 2007. We employ a state-of-the-art panel data stationarity test which incorporates multiple structural breaks. Evidence indicates...