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Non-linear dynamics in international stock market returns

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  • McMillan, David G.
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 14 (2005)
    Issue (Month): 1 ()
    Pages: 81-91

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    Handle: RePEc:eee:revfin:v:14:y:2005:i:1:p:81-91

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    Web page: http://www.elsevier.com/locate/inca/620170

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    4. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-76, April.
    5. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
    6. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    7. Maasoumi, Esfandiar & Racine, Jeff, 2002. "Entropy and predictability of stock market returns," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 291-312, March.
    8. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
    9. James Dow & Gary Gorton, 1994. "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Center for Financial Institutions Working Papers 95-10, Wharton School Center for Financial Institutions, University of Pennsylvania.
    10. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1989. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc.
    11. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, 08.
    12. He, Hua & Modest, David M, 1995. "Market Frictions and Consumption-Based Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 103(1), pages 94-117, February.
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    17. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    22. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    23. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
    24. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.
    25. Obstfeld, Maurice & Taylor, Alan M., 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 441-479, December.
    26. Jansen, Eilev S. & Teräsvirta, Timo, 1995. "Testing Parameter Constancy and super Exogeneity in Econometric Equations," Working Paper Series in Economics and Finance 53, Stockholm School of Economics.
    27. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "A Non-linear Analysis of Excess Foreign Exchange Returns," Manchester School, University of Manchester, vol. 69(6), pages 623-42, December.
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    30. Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263.
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    35. David McMillan, 2001. "Non-Linear Predictability of Stock Market Returns: Evidence from Non-Parametric and Threshold Models," Discussion Paper Series, Department of Economics 200102, Department of Economics, University of St. Andrews.
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    Cited by:
    1. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
    2. Parisi, Antonino & Parisi, Franco & Díaz, David, 2008. "Forecasting gold price changes: Rolling and recursive neural network models," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 477-487, December.
    3. Rahman, Abdul & Saadi, Samir, 2008. "Random walk and breaking trend in financial series: An econometric critique of unit root tests," Review of Financial Economics, Elsevier, vol. 17(3), pages 204-212, August.
    4. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 249-260.
    5. David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 95-111, June.
    6. Lin, Jeng-Bau & Liang, Chin-Chia & Yeh, Ming-Liang, 2011. "Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies," Japan and the World Economy, Elsevier, vol. 23(2), pages 79-85, March.
    7. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology.
    8. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.

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