Loading...
Please wait, while we are loading the content...
Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Chen, Shu-Ling Kim, Hyeongwoo |
| Copyright Year | 2011 |
| Abstract | This paper seeks empirical evidence of nonlinear mean-reversion in relative national stock price indices for Emerging Asian countries. It is well known that conventional linear unit root tests suffer from low power against the stationary nonlinear alternative. Implementing the nonlinear unit root tests proposed by Kapetanios et al. (2003) and Cerrato et al. (2009) for the relative stock prices of Emerging Asian markets, we find strong evidence of nonlinear mean reversion, whereas linear tests fail to reject the unit root null for most cases. We also report some evidence that stock markets in China and Taiwan are highly localized. |
| Starting Page | 239 |
| Ending Page | 250 |
| Page Count | 12 |
| File Format | PDF HTM / HTML |
| DOI | 10.1080/10168737.2011.580569 |
| Volume Number | 25 |
| Alternate Webpage(s) | https://mpra.ub.uni-muenchen.de/18680/1/MPRA_paper_18680.pdf |
| Alternate Webpage(s) | https://doi.org/10.1080/10168737.2011.580569 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
