Nonlinear dynamics in CEE stock markets indices

被引：13
|
作者：
Caraiani, Petre
机构：
来源：
ECONOMICS LETTERS | 2012年 / 114卷 / 03期
关键词：
Nonlinear models; Threshold autoregression; Smooth transition auto:egression; Simulation techniques; Chaos theory; TIME-SERIES; CHAOS;
D O I：
10.1016/j.econlet.2011.11.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate the existence of nonlinearities in the dynamics of the returns of stock markets indices from CEE economies. We use several types of nonlinear tests. We discuss the implications of the results with respect to the efficient market hypothesis. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：329 / 331
页数：3
相关论文
共 50 条
  • [1] Nonlinear Interdependencies of Europeans Stock Markets Indices
    Hennani, Rachida
    Terraza, Michel
    REVUE D ECONOMIE POLITIQUE, 2017, 127 (01): : 47 - 70
  • [2] The Turn of the Month Effect on CEE Stock Markets
    Arendas, Peter
    Kotlebova, Jana
    INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2019, 7 (04):
  • [3] LOW RISK ANOMALY IN THE CEE STOCK MARKETS
    Zaremba, Adam
    ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2015, 18 (03): : 81 - 102
  • [4] The Financial Crisis and the Stock Markets of the CEE Countries
    Kizys, Renatas
    Pierdzioch, Christian
    FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2011, 61 (02): : 153 - 172
  • [5] Nonlinearities and Chaos: A New Analysis of CEE Stock Markets
    Albulescu, Claudiu Tiberiu
    Tiwari, Aviral Kumar
    Kyophilavong, Phouphet
    MATHEMATICS, 2021, 9 (07)
  • [6] Analysis of Interdependencies between Austrian and CEE Stock Markets
    Stoica, Ovidiu
    Diaconasu, Delia-Elena
    PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING, 2012, : 386 - 397
  • [7] NEW INSIGHTS ON CALENDAR ANOMALIES IN CEE STOCK MARKETS
    Milos, Marius Cristian
    Donath, Liliana
    Nachescu, Miruna
    Hetes, Roxana
    Cerba, Cristina
    TRANSFORMATIONS IN BUSINESS & ECONOMICS, 2024, 23 (01): : 340 - 360
  • [8] Stock Indices for Emerging Markets
    Karpio, K.
    Orlowski, A. J.
    Lukasiewicz, P.
    ACTA PHYSICA POLONICA A, 2010, 117 (04) : 619 - 622
  • [9] Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets
    Skrinjaric, Tihana
    INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2019, 7 (01):
  • [10] VOLATILITY SPILLOVER BETWEEN GERMANY, FRANCE, AND CEE STOCK MARKETS
    Chirila, Viorica
    Chirila, Ciprian
    JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT, 2022, 23 (06) : 1280 - 1298
12345