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Nonlinear dynamics in CEE stock markets indices

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  • Caraiani, Petre

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 114 (2012)
Issue (Month): 3 ()
Pages: 329-331

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Handle: RePEc:eee:ecolet:v:114:y:2012:i:3:p:329-331

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Nonlinear models; Threshold autoregression; Smooth transition autoregression; Simulation techniques; Chaos theory;

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References

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  1. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
  2. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December.
  3. Apostolos Serletis, 1996. "Is There Chaos in Economic Time Series?," Canadian Journal of Economics, Canadian Economics Association, vol. 29(s1), pages 210-12, April.
  4. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA.
  5. John Barkoulas & Nickolaos Travlos, 1998. "Chaos in an emerging capital market? The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 231-243.
  6. Kian-Ping Lim & Venus Khim-Sen Liew, 2003. "Testing for Non-Linearity in ASEAN Financial Markets," Finance 0308002, EconWPA.
  7. Takala, Kari & Viren, Matti, 1996. "Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland," European Journal of Operational Research, Elsevier, vol. 93(1), pages 155-172, August.
  8. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July.
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Cited by:
  1. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.

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