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Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets

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Author Info
Kian-Ping Lim (Universiti Malaysia Sabah)
M. Azali (Universiti Putra Malaysia)
M.S. Habibullah (Universiti Putra Malaysia)
Venus Khim-Sen Liew (Universiti Putra Malaysia)

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Abstract

With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich bispectrum test indicate strong evidence of non-linearity in all the Asian stock markets under investigate- Japan, Hong Kong, Singapore and Malaysia. These findings further add to the empirical support that non-linearity is a salient feature in stock market time series data and have important implications for works on market efficiency, modelling and pricing and hedging strategies in derivatives markets.

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Paper provided by EconWPA in its series Finance with number 0308001.

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Date of creation: 03 Aug 2003
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Handle: RePEc:wpa:wuwpfi:0308001

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Related research
Keywords: Non-linearity; Data generating process; Hinich bispectrum test; Asian stock markets.;

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

References listed on IDEAS
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    Other versions:
  4. Pesaran, M Hashem & Potter, Simon M, 1992. "Nonlinear Dynamics and Econometrics: An Introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S1-7, Suppl. De. [Downloadable!] (restricted)
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  6. repec:att:wimass:199520 is not listed on IDEAS
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  14. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June. [Downloadable!] (restricted)
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  15. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April. [Downloadable!] (restricted)
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  16. 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)
  17. Abhyankar, A & Copeland, L S & Wong, W, 1995. "Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom," Economic Journal, Royal Economic Society, vol. 105(431), pages 864-80, July. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003. "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance 0312012, EconWPA. [Downloadable!]
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