Narayan, Paresh Kumar; Narayan, Seema - In: Studies in Economics and Finance 24 (2007) September, pp. 233-244
Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no … consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re …-examine mean reversion in stock prices. Design/methodology/approach – The authors use five different panel unit root tests, namely …