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

来源：

APPLIED ECONOMICS LETTERS | 2011年 / 18卷 / 13-15期

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

页码：1363 / 1366

页数：4

共 15 条

[1]

[Anonymous], 200928 U GLASG

[2]

[Anonymous], APPL FINANCIAL EC

[3]

Baltagi B., 2005, Economic Analysis of Panel Data, V3rd

[4] Computing level-impulse responses of log-specified VAR systems [J].