Nonlinear mean reversion in stock prices : Evidence from Asian markets

Lim , Kian Ping and Liew, Venus Khim Sen (2007) Nonlinear mean reversion in stock prices : Evidence from Asian markets. Applied Financial Economics Letters, 3 (1). pp. 25-29. ISSN 1744-6546

[img]
Preview
PDF
199Kb

Official URL: http://dx.doi.org/10.1080/17446540600796073

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 markets
Subjects:?? HG4551-4598 ??
Divisions:SCHOOL > Labuan School of International Business and Finance
ID Code:3784
Deposited By:IR Admin
Deposited On:20 Mar 2012 15:30
Last Modified:18 Feb 2015 12:28

Repository Staff Only: item control page


Browse Repository
Collection
   Articles
   Book
   Speeches
   Thesis
   UMS News
Search
Quick Search

   Latest Repository

Link to other Malaysia University Institutional Repository

Malaysia University Institutional Repository