Nonlinear Dependence in Stock Returns: Evidences from India
This paper examines non-linear dependence in Indian stock returns using a set of non-linearity tests. The daily data between 1997 and 2009 for eight indices from National Stock Exchange (NSE) and six indices from Bombay Stock Exchange (BSE) are used. The results suggest strong evidence of non-linear structure in stock returns. The non-linear dependence, however, is not consistent throughout the sample period as indicated by windowed Hinich test [1996, Journal of Non-parametric Statistics, 6, 205-221] suggesting episodic nonlinear dependence in Indian stock returns. The existence of episodic non-linear dependency is associated with events such as uncertainties in international oil prices, sub-prime crisis followed by global economic meltdown, and political uncertainties among others.
Volume (Year): 8 (2010)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.jqe.co.in/societyhome.html|
More information through EDIRC
|Order Information:|| Postal: Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA|
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.:
- H. R. Seddighi & W. Nian, 2004. "The Chinese stock exchange market: operations and efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 14(11), pages 785-797.
- Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
- Kian-Ping Lim & Robert Brooks, 2009. "Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 147-155.
- Anderson, H.M. & Vahid, F., 2001.
"Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices,"
Monash Econometrics and Business Statistics Working Papers
3/01, Monash University, Department of Econometrics and Business Statistics.
- Anderson, Heather M & Vahid, Farshid, 2001. "Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 541-66, December.
- Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April.
- Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
- Kian-Ping Lim, 2008. "Sectoral efficiency of the Malaysian stock market and the impact of the Asian financial crisis," Studies in Economics and Finance, Emerald Group Publishing, vol. 25(3), pages 196-208, June.
- repec:ebl:ecbull:v:7:y:2005:i:6:p:1-5 is not listed on IDEAS
- Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993.
"Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests,"
Journal of Econometrics,
Elsevier, vol. 56(3), pages 269-290, April.
- Tom Doan, . "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
- Tom Doan, . "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
- Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
- Kian-Ping Lim & Melvin J. Hinich, 2005. "Non-linear Market Behavior: Events Detection in the Malaysian Stock Market," Economics Bulletin, AccessEcon, vol. 7(6), pages 1-5.
- 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.
- Pradeep K. Yadav & Krishna Paudyal & Peter F. Pope, 1999. "Non-linear Dependence in Stock Returns: Does Trading Frequency Matter?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(5&6), pages 651-679.
- Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
When requesting a correction, please mention this item's handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:69-85. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (D. M. Nachane)or ()
If references are entirely missing, you can add them using this form.