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Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies

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Author Info
Graham Newell
Maurice Peat (Discipline of Finance, University of Sydney)
Max Stevenson (Discipline of Finance, University of Sydney)
Abstract

In this paper we have tested for evidence of nonlinear structure in United Kingdom asset returns including those of real estate and investment trusts, stock market indices and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear deterministic (chaotic) structure against a random alternative, others have power against nonlinear stochastic structure. If nonlinear deterministic and random walk models are not appropriate to explain asset returns behaviour, then stochastic nonlinearity seems like a logical alternative. The results from our study lead us to that conclusion.

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File URL: http://www.bus.uts.edu.au/fin&econ/research/wpapers/wp73.pdf
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Paper provided by School of Finance and Economics, University of Technology, Sydney in its series Working Paper Series with number 73.

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Date of creation: 01 May 1997
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Handle: RePEc:uts:wpaper:73

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  1. Brent W. Ambrose & Esther Ancel & Mark D. Griffiths, 1992. "The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(1), pages 25-54. [Downloadable!] (restricted)
  2. Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  3. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July. [Downloadable!] (restricted)
  4. repec:att:wimass:199520 is not listed on IDEAS
  5. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  6. Willey, Thomas, 1992. "Testing for nonlinear dependence in daily stock indices," Journal of Economics and Business, Elsevier, vol. 44(1), pages 63-76, February. [Downloadable!] (restricted)
  7. Graham Newell & Maurice Peat & Max Stevenson, 1996. "Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns," Working Paper Series 61, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  8. 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. [Downloadable!] (restricted)
  9. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
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