This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...

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...