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

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