Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets

Lim , Kian Ping and Brooks, Robert D. and 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, 18 (5). pp. 527-544. ISSN 1042-4431

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Official URL: http://dx.doi.org/10.1016/j.intfin.2007.08.001

Abstract

The objective of this paper is to re-examine the weak-form efficiency of 10 Asian emerging stock markets. Using a battery of nonlinearity tests, the statistical results reveal that all the returns series still contain predictable nonlinearities even after removing linear serial correlation from the data. The next stage of sub-sample analysis using the Hinich [Hinich, M., 1996. Testing for dependence in the input to a linear time series model. Journal of Nonparametric Statistics 6, 205-221] bicorrelation test shows that the 10 Asian series follow a pure noise process for long periods of time, only to be interspersed with brief periods of strong nonlinear dependence. The exploratory investigation found that the cross-country differences in nonlinear departure from market efficiency can be explained by market size and trading activity, while the transient burst of nonlinear periods in each individual market can be attributed largely to the occurrence of economic and political events. © 2007 Elsevier B.V. All rights reserved.

Item Type:Article
Uncontrolled Keywords:Asia, Emerging markets, Market efficiency, Nonlinearity, Predictability
Subjects:?? HG4551-4598 ??
Divisions:SCHOOL > Labuan School of International Business and Finance
ID Code:1615
Deposited By:IR Admin
Deposited On:25 Mar 2011 12:05
Last Modified:18 Feb 2015 10:35

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