Lim, Kian-Ping and Liew, Venus Khim-Sen (2007) Nonlinear mean reversion in stock prices: evidence from Asian markets. Applied Financial Economics Letters, 3. pp. 25-29. ISSN 1744–6546
|
PDF
Nonlinear mean reversion in stock (abstract).pdf Download (54kB) | Preview |
Abstract
Utilizing the standard linearity test of Luukkonen et al. (1988), the linear nature of all the Asian stock indices has been formally rejected. This finding warrants use of the nonlinear stationary test of Kapetanois et al. (2003), which is also constructed in the STAR framework, to investigate the mean reverting property of the stock prices series. As a whole, this study not only found convincing evidence of a nonlinear mean reverting pattern in all the Asian stock indices, but also demonstrates the risk of drawing the wrong inferences on mean reversion when the ADF test is applied to data governed by nonlinearity.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | stock prices, Asian market, financial, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Ab Rahim |
| Date Deposited: | 20 Nov 2017 08:06 |
| Last Modified: | 20 Nov 2017 08:06 |
| URI: | http://ir.unimas.my/id/eprint/18646 |
Actions (For repository members only: login required)
 |
View Item |
