Does mean reversion occur in selected African stock markets?

• Main Authors: Chia, Ricky Chee Jiun, Pang, Wan Xin
• Format: Article
• Language: English; English
• Published: Empirical Economics Letters 2021
• Subjects: HG4501-6051 Investment, capital formation, speculation
• Online Access: https://eprints.ums.edu.my/id/eprint/33118/5/Does%20mean%20reversion%20occur%20in%20selected%20African%20stock%20markets.pdf; https://eprints.ums.edu.my/id/eprint/33118/2/Does%20mean%20reversion%20occur%20in%20selected%20African%20stock%20markets%20_ABSTRACT.pdf; https://eprints.ums.edu.my/id/eprint/33118/; http://www.eel.my100megs.com/volume-20-number-2.htm

This study examines the mean reversion of two Emerging Markets (Egypt and South Africa) and five Frontier Markets (Kenya, Mauritius, Morocco, Nigeria and Tunisia) by examining the stationarity of stock prices using several panel unit root tests. Empirical results show that the unit root tests (ADF,...