Testing the Random Walk Behavior in the Damascus Securities Exchange Using Unit Root Tests with Structural Breaks

Asian Economic and Financial Review

关键词: Market efficiency;    Random walk;    Unit root tests;    Structural breaks;    Zivot and Andrews test;    Lumsdaine and Papell test;    Lee and Strazicich test;    Damascus securities exchange.;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This study aims to test whether stock prices on the Damascus Securities Exchange (DSE) follow a random walk process, using weekly data during the period from January 2010 to Mars 2017. For that purpose, in addition to the ADF test, which does not account for structural breaks in the data, the Zivot and Andrews test with one break, the Lumsdaine and Papell test with two breaks and the Lee and Strazicich tests with one and two endogenously determined structural breaks are applied. The findings of the study provide evidence in favor of random walk hypothesis in the DSE despite considering up to structural breaks in the data. Moreover, the dates of endogenously captured structural breaks in the majority of models tested coincide with the political instability that erupted in 2011 in Syria.

【 授权许可】

CC BY