Non-linear predictability in G7 stock index returns

Lim , Kian Ping and Hooy, Chee Wooi (2012) Non-linear predictability in G7 stock index returns. Manchester School . ISSN 1463-6786

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Official URL: http://dx.doi.org/10.1111/j.1467-9957.2012.02303.x

Abstract

This paper re-examines the persistence and source of non-linear predictability in the stock markets of G7 countries. Applying the Brock-Dechert-Scheinkman (BDS) test on autoregression (AR)-filtered returns in rolling estimation windows, we find evidence of local non-linear predictability in all the sampled stock markets. To identify the source, we apply the BDS test on AR-generalized autoregressive conditional heteroskedasticity (GARCH)-filtered returns in rolling windows. After accounting for conditional heteroskedasticity, we still find brief time periods with non-linear predictability in all markets, contradicting the weak-form efficient markets hypothesis.

Item Type:Article
Uncontrolled Keywords:Non-linear, Stock index
Subjects:?? HG4551-4598 ??
Divisions:SCHOOL > Labuan School of International Business and Finance
ID Code:5539
Deposited By:IR Admin
Deposited On:04 Dec 2012 17:17
Last Modified:23 Feb 2015 11:04

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