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.
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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
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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
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- 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.
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