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
收藏
页码：1363 / 1366
页数：4
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