Nonlinearities in Stock Returns for Some Recent Entrants to the EU
AbstractIn this paper we use nonlinear tests to investigate the mean reverting properties of stock returns in a group of CEE markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross sectional dependence. Our results indicate that all series’ are stationary, but we find some ambiguity in the results of our tests for cross sectional dependence.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Nottingham Trent University, Nottingham Business School, Economics Division in its series Working Papers with number 2010/1.
Date of creation: Apr 2010
Date of revision:
Contact details of provider:
Web page: http://www.ntu.ac.uk/nbs
nonlinearities; stock markets; Central and Eastern European Countries;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 73-84, January.
- Barry Harrison & Winston Moore, 2009. "Spillover effects from London and Frankfurt to Central and Eastern European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1509-1521.
- Mario Cerrato & Christian de Peretti & Nick Sarantis, 2008.
"A Nonlinear Panel Unit Root Test under Cross Section Dependence,"
2008_08, Business School - Economics, University of Glasgow.
- Mario Cerrato & Christian de Peretti & Rolf Larsson & Nick Sarantis, 2009. "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers 2009_28, Business School - Economics, University of Glasgow.
- Cerrato, Mario & de Peretti, Christian & Larsson, Rolf & Sarantis, Nicholas, 2011. "A Nonlinear Panel Unit Root Test under Cross Section Dependence," SIRE Discussion Papers 2011-30, Scottish Institute for Research in Economics (SIRE).
- Mario Cerrato & Christian de Peretti & Rolf Larsson & Nicholas Sarantis, 2011. "A nonlinear panel unit root test under cross section dependence," Working Papers 2011_08, Business School - Economics, University of Glasgow.
- Mario Cerrato & Christian De Peretti & Nick Sarantis, 2007. "A nonlinear panel unit root test under cross section dependence," Documents de recherche 07-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Serena Ng & Pierre Perron, 1997.
"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- M. Hashem Pesaran, 2007.
"A simple panel unit root test in the presence of cross-section dependence,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
- Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
- Bradley, Michael D. & Jansen, Dennis W., 2004. "Forecasting with a nonlinear dynamic model of stock returns and industrial production," International Journal of Forecasting, Elsevier, vol. 20(2), pages 321-342.
- Barry Harrison & Winston Moore, 2012. "Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets," Economic Issues Journal Articles, Economic Issues, vol. 17(1), pages 77-93, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simeon Coleman).
If references are entirely missing, you can add them using this form.