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Non-linear Market Behavior: Events Detection in the Malaysian Stock Market

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  • Kian-Ping Lim

    ()
    (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

  • Melvin J. Hinich

    ()
    (Applied Research Laboratories, University of Texas at Austin)

Abstract

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the present study is able to identify major political and economic events that contributed to the short bursts of non-linear behavior. The present framework can be extended to individual firm to examine the adjustment of its stock price to firm-specific events, which will provide deeper insight into issues on corporate finance.

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File URL: http://www.accessecon.com/pubs/EB/2005/Volume7/EB-05G10005A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2005)
Issue (Month): 6 ()
Pages: 1-5

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Handle: RePEc:ebl:ecbull:eb-05g10005

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  1. Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
  2. Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(2), pages 175-195, April.
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Cited by:
  1. Gourishankar S Hiremath & Bandi Kamaiah, 2010. "Nonlinear Dependence in Stock Returns: Evidences from India," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 69-85, January.

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