Revista Egitania Sciencia - Volume 14 | ARTICLE

Title: MEAN REVERSION IN INTERNATIONAL STOCK MARKETS: FROM DOTCOM CRISIS TO GLOBAL FINANCIAL CRISIS

Author: Vítor Manuel de Sousa Gabriel (vigab@ipg.pt)*, José Ramos Pires Manso (pmanso@ubi.pt)**
UDI – Unidade de Investigação para o Desenvolvimento do Interior, PEst-OE/EGE/UI4056/2011 – Projeto financiado pela Fundação para a Ciência e Tecnologia (FCT), Ministério da Educação e Ciência, Instituto Politécnico da Guarda (Portugal).* * NECE – Núcleo de Estudos em Ciências Empresariais, Programa de Financiamento Plurianual das Unidades de I&D da FCT – Fundação para a Ciência e Tecnologia, Ministério da Educação e da Ciência, Universidade da Beira Interior (Portugal).
Publication: Revista Egitania Sciencia - Volume 14

Abstract:
This study analyzes the process of mean reversion in international stock markets. Resorting to the approach of Wright (2000) and Belaire-Franch and Opong (2005), twelve European and non-European markets were selected, representing over 62% of the global capitalization, and the period from 4th October 1999 to 30th June 2011 was chosen. A clear evidence of mean reversion in stock markets was identified during all sampling periods. The results showed great interest to investors and portfolio managers, to defining strategies for investment resources allocation.


Keywords: Global financial crisis, world stock markets, variance ratio tests, mean reversion





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