Nonlinearities in central and eastern European stock markets

被引:1
作者
Harrison, Barry [1 ]
Moore, Winston [2 ]
机构
[1] Nottingham Trent Univ, Nottingham Business Sch, Dept Econ, Nottingham NG1 4BU, England
[2] Univ W Indies, Dept Econ, BB-11000 Bridgetown, Barbados
关键词
UNIT-ROOT TESTS; PANEL-DATA; PREDICTABILITY; RETURNS; MODEL;
D O I
10.1080/13504851.2010.537622
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this article we use nonlinear tests to investigate the mean reverting properties of stock prices in a group of Central and East European (CEE) markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross-sectional dependence. Our results indicate that ignoring the nonlinearity in the stock prices of CEE countries could result in misleading inferences.
引用
收藏
页码:1363 / 1366
页数:4
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