A panic analysis of stock pricesnew evidence for industrialized countries
ISSN: 1133-455X
Year of publication: 2014
Volume: 22
Issue: 64
Pages: 59-84
Type: Article
More publications in: Revista de economía aplicada
Bibliographic References
- Andrews, D.W.K. (1993): "Exactly Median-Unbiased Estimation of First Order Autoregressive/ Unit Root Models", Econometrica, vol. 61, pp. 139-165
- Andrews, D.W.K. and Chen, H.Y. (1994): "Approximately Median-Unbiased Estimation of Autoregressive Models", Journal of Business and Economic Statistics, vol. 12, pp. 187-204
- Arshanapalli, B. and Doukas, J. (1993): "International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period", Journal of Banking and Finance, vol. 17, pp. 193-208
- Bai, J. (2004): "Estimating Cross-Section Common Stochastic Trends in Non-Stationary Panel Data", Journal of Econometrics, vol. 122, pp. 137-183
- Bai, J. and Ng, S. (2002): "Determining the Number of Factors in Approximate Factor Models", Econometrica, vol. 70, pp. 191-221
- Bai, J. and Ng, S. (2004a): "A PANIC Attack on Unit Roots and Cointegration", Econometrica, vol. 72, pp. 1127-1177
- Bai, J. and Ng, S. (2004b): "A New Look at Panel Testing of Stationarity and the PPP Hypothesis", in Donald W. Andrews and James Stock (eds.), Identification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg, Cambridge University Press, Cambridge.
- Bai, J. and Perron, P. (1988): "Estimating and Testing Linear Models with Multiple Structural Changes", Econometrica, vol. 66 (1), pp. 47-78
- Balvers, R., Wu, Y. and Gilliand, E. (2000): "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies", Journal of Finance, vol. 55, pp. 745-772
- Banerjee, A., Marcellino, M. and Osbat, C. (2005): "Testing for PPP: Should We Use Panel Methods?", Empirical Economics, vol. 30, pp. 77-91
- Basher, S.A. and Carrion-i-Silvestre, J.L. (2013): "Deconstructing Shocks and Persistence in OECD Real Exchange Rates", The B.E. Journal of Macroeconomics, forthcoming.
- Breitung, J. and Das, S. (2005): "Panel Unit Root Tests under Cross-Sectional Dependence", Statistica Neerlandica, vol. 59 (4), pp. 414-433
- Breitung, J. and Pesaran, M.H. (2008): "Unit Roots and Cointegration in Panels", in L. Matyas and P. Sevestre (eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, Kluwer Academic Publishers, 2008, Chap. 9, pp. 279-322
- Breusch, T.S. and Pagan, A.R. (1980): "The Lagrange Multiplier Test and Its Application to Model Specifications in Econometrics", Review of Economic Studies, vol. 47, pp. 239-253
- Campbell, J.Y. and Shiller, R.J. (1987): "Cointegration Tests of Present Value Models", Journal of Political Economy, vol. 95 (5), pp. 1062-1088
- Campbell, J.Y. and Shiller, R.J. (1988): "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors", Review of Financial Studies, vol. 1 (3), pp. 195-228
- Campbell, J.Y. and Perron, P. (1991): "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots", NBER Macroeconomic Annual, vol. 1991, pp. 141-201
- Caporale, G.M. and Pittis, N. (1998): "Cointegration and Predictability of Asset Prices", Journal of International Money and Finance, vol. 17, pp. 441-453
- Carrion-i-Silvestre, J.L. and Villar, O. (2011): "Dependencia y Contagio Financiero en los Mercados Bursátiles durante la Gran Recesión", Article presented at XIV Encuentro de Economía Aplicada, Huelva, Spain.
- Chang, Y. (2002): "Nonlinear Unit Root Tests in Panels with Cross-Sectional Dependency", Journal of Econometrics, vol. 110, pp. 261-292
- Chaudhuri, K. and Wu, Y. (2003): "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets", Journal of Banking Finance, vol. 27, pp. 575-592
- Chaudhuri, K. and Wu, Y. (2004): "Mean Reversion in Stock Prices: Evidence from Emerging Markets", Managerial Finance, vol. 30, pp. 22-37
- Cheung, Y-W. and Lai, K.S. (2000): "On the Purchasing Power Parity Puzzle", Journal of International Economics, vol. 52, pp. 321-330
- Choi, I. (2001): "Unit Root Tests for Panel Data", Journal of International Money and Finance, vol. 20, pp. 249-272
- Choi, I. and Chue, T.K. (2007): "Subsampling Hypothesis Tests for Non-Stationary Panels with Applications to Exchange Rates and Stock Prices", Journal of Applied Econometrics, vol. 22 (2), pp. 233-264
- Choudhry, T. (1997): "Stochastic Trends in Stock Prices: Evidence from Latin American Markets", Journal of Macroeconomics, vol. 19, pp. 285-304
- Chow, K.V. and Denning, K.C. (1993): "A Simple Multiple Variance Ratio Test", Journal of Econometrics, vol. 58 (3), pp. 385-401
- Chung, P.J. and Liu, D.J. (1994): "Common Stochastic Trends in Pacific Rim Stock Markets", Quarterly Review of Economics and Finance, vol. 34 (3), pp. 241-259
- Crowder, W.J. and Wohar, M.E. (1998): "Stock Price Effects of Permanent and Transitory Shocks", Economic Inquiry, vol. 34 (4), pp. 540-552
- DeBondt, W.F.M. and Thaler, R. (1985): "Does the Stock Market Overreact?", Journal of Finance, vol. 40, pp. 793-805
- DeJong, D.N., Nankervis, J.C., Savin, N.E. and Whiteman, C.H. (1992): "The Power Problems of Unit Root Tests in Time Series with Autoregressive Errors", Journal of Econometrics, vol. 53, pp. 323-343
- Dickey, D.A. and Fuller, W. A. (1979): "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of American Statistical Association, vol. 74, pp. 427-431
- Fama, E.F. and French, K. (1988): "Permanent and Temporary Components of Stock Prices", Journal of Political Economy, vol. 96, pp. 246-273
- Froot, K.A. and Obstfeld, M. (1991): "Intrinsic Bubbles: the Case of Stock Prices", American Economic Review, vol. 81, pp. 1189-1214
- Gengenbach, C., Palm, F.C. and Urbain, J.P. (2010): "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparisons and Implications for Modelling", Econometric Reviews, vol. 29 (2), pp. 111-145
- Granger, C. (1986): "Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, vol. 48, pp. 213-228
- Gropp, J. (2004): "Mean Reversion of Industry Stock Returns in the U.S., 1926-1998", Journal of Empirical Finance, vol. 11, pp. 537-551
- Hadri, K. (2000): "Testing for Stationarity in Heterogeneous Panel Data", The Econometrics Journal, vol. 3, pp. 148-161
- Harris, R.D.F. and Tzavalis, E. (2004): "Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends", Econometric Reviews, vol. 23 (2), pp. 149-166
- Kasa, K. (1992): "Common Stochastic Trends in International Stock Markets", Journal of Monetary Economics, vol. 29, pp. 95-124
- Kim, C-J., Morley, J.C. and Nelson, C.R. (2001): "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?", Journal of Empirical Finance, vol. 8(4), pp. 403-426
- Kim, M.J., Nelson, C.R. and Startz, R. (1991): "Mean Reversion of Stock Prices: A Reappraisal of the Empirical Evidence", Review of Economic Studies, vol. 58, pp. 515-528
- Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992): "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?", Journal of Econometrics, vol. 54, pp. 159-178
- Lamont, O. (1998): "Earnings and Expected Returns", Journal of Finance, vol. 53, pp. 1563-1587
- Lee, B-S. (1995): "The Response of Stock Prices to Permanent and Temporary Shocks to Dividends", Journal of Financial and Quantitative Analysis, pp. 1-22
- Lee, B-S. (1996): "Comovements of Earnings, Dividends, and Stock Prices", Journal of Empirical Finance, vol. 3, pp. 327-346
- Levin, A., Lin, C-F. and Chu, C-S.J. (2002): "Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties", Journal of Econometrics, vol. 108, pp. 1-24
- Levy, H. and Sarnat, M. (1970): "International Diversification of Investment Portfolios", American Economic Review, vol. 60, pp. 668-675
- Lo, A.W. and MacKinlay, A.C. (1988): "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test", Review of Financial Studies, vol. 1, pp. 41-66
- Lucas, R.E. (1978): "Asset Prices in an Exchange Economy", Econometrica, vol. 46, pp. 1426-1445
- Maddala, G.S. and Wu, S. (1999): "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test", Oxford Bulletin of Economics and Statistics, vol. 61, pp. 631-652
- Malliaropulos, D. and Priestley, R. (1999): "Mean Reversion in Southeast Asian Stock Markets", Journal of Empirical Finance, vol. 6 (4), pp. 55-384
- McQueen, G. (1992): "Long-horizon Mean Reverting Stock Process Revisited", Journal of Financial and Quantitative Analysis, vol. 27, pp. 1-18
- Moon, H.R. and Perron, B. (2004): "Testing for a Unit Root in Panels with Dynamic Factors", Journal of Econometrics, vol. 122, pp. 81-126
- Moon, H.R. and Perron, B. (2007): "An Empirical Analysis of Non-Stationarity in a Panel of Interest Rates with Factors", Journal of Applied Econometrics, vol. 22, pp. 383-400
- Nelson, C.R. and Plosser, C.I. (1982): "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications", Journal of Monetary Economics, vol. 10, pp. 139-162
- Ng, S. and Perron, P. (1995): "Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag", Journal of the American Statistical Association, vol. 90, pp. 268-281
- O'Connell, P. (1998): "The Overvaluation of Purchasing Power Parity", Journal of International Economics, vol. 44, pp. 1-19
- Pesaran, M.H. (2004): "General Diagnostic Tests for Cross-Section Dependence in Panels", IZA Discussion Paper Series, DP No 1240, 2004
- Pesaran, M.H. (2007): "A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence", Journal of Applied Econometrics, vol. 22 (2), pp. 265-312
- Poterba, J.M. and Summers, L.H. (1988): "Mean Reversion in Stock Prices: Evidence and Implications", Journal of Financial Economics, vol. 22, pp. 27-59
- Richards, A.J. (1995): "Co-movements in National Stock Market Returns: Evidence of Predictability but not Cointegration", Journal of Monetary Economics, vol. 36, pp. 631-654
- Richardson, M. (1993): "Temporary Components of Stock Prices: A Skeptic's View", Journal of Business and Economic Statistics, vol. 11, pp. 199-207
- Shin, Y. (1994): "A Residual Based Test for the Null of Cointegration against the Alternative of no Cointegration", Econometric Theory, vol. 10 (1), pp. 91-115
- Shin, Y. and Snell, A. (2006): "Mean-group Tests for Stationarity in Heterogeneous Panels", Econometrics Journal, vol. 9, pp. 123-158
- Smith, V., Leybourne, S., Kim, T-H. and Newbold, P. (2004): "More Powerful Panel Data Unit Root Tests with an Application to the Mean Reversion in Real Exchange Rates", Journal of Applied Econometrics, vol. 19, pp. 147-170
- Solnik, B. (1991): International investments. New York, Addison Wesley.
- Zhu, Z. (1998): "The Random Walk of Stock Prices: Evidence from a Panel of G7 Countries", Applied Economic Letters, vol. 5, pp. 411-413.