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
  • [21] Stock market stability on selected CEE and SEE markets: a quantile regression approach
    Skrinjaric, Tihana
    POST-COMMUNIST ECONOMIES, 2020, 32 (03) : 352 - 375
  • [22] Prioritization of the IT Sector in the CEE Stock Markets: Investment Policies, Trends and Hidden Gems
    Hurnyak, Ihor
    Struk, Oleksandra
    COMPARATIVE ECONOMIC RESEARCH-CENTRAL AND EASTERN EUROPE, 2024, 27 (03): : 23 - 45
  • [23] MEAN-VARIANCE COEXCEEDANCE NETWORKS: PRELIMINARY RESULTS FOR CEE STOCK MARKETS
    Lyocsa, Stefan
    Vyrost, Tomas
    8TH INTERNATIONAL DAYS OF STATISTICS AND ECONOMICS, 2014, : 888 - 898
  • [24] GRANGER CAUSALITY ANALYSIS OF THE CEE STOCK MARKETS INCLUDING NONSYNCHRONOUS TRADING EFFECTS
    Olbrys, Joanna
    Majewska, Elzbieta
    ARGUMENTA OECONOMICA, 2013, 31 (02): : 151 - 172
  • [25] Economic Policy Uncertainty and Stock Market Spillovers: Case of Selected CEE Markets
    Skrinjaric, Tihana
    Orlovic, Zrinka
    MATHEMATICS, 2020, 8 (07)
  • [26] Calendar anomalies in the stock markets: conventional vs Islamic stock indices
    Hasan, Md Bokhtiar
    Hassan, M. Kabir
    Rashid, Md Mamunur
    Ali, Md Sumon
    Hossain, Md Naiem
    MANAGERIAL FINANCE, 2022, 48 (02) : 258 - 276
  • [27] Nonlinear interdependence of the Chinese stock markets
    Soofi, Abdol S.
    Li, Zhe
    Hui, Xiaofeng
    QUANTITATIVE FINANCE, 2012, 12 (03) : 397 - 410
  • [28] On nonlinear dependencies in African stock markets
    Okorie, Idika E.
    Nadarajah, Saralees
    ECONOMIC NOTES, 2020, 49 (01)
  • [29] Commonality in Liquidity Indices: The Emerging European Stock Markets
    Bedowska-Sojka, Barbara
    Echaust, Krzysztof
    SYSTEMS, 2019, 7 (02):
  • [30] Volatility spillover across energy indices of the stock markets
    Acatrinei, Marius
    ROMANIAN STATISTICAL REVIEW, 2015, (02) : 5 - 13
12345