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In this paper, the authors address weak form stock market efficiency of Emerging Economies, by testing whether the price series of these markets contain unit root. Nonlinear behavior of stock prices is well documented in the paper, and thus linear unit root tests may not be appropriate in this case. For this purpose, they employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and nonlinear panel unit root test Ucar and Omay (2009) that has a better power than standard unit root tests when series under consideration are characterized by a slower speed of mean reversion. Large power gains are achieved through combining cross sectional information and nonlinear estimation techniques in computing unit root tests.
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