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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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 |
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| Keyword: | Non-linear, Stock index |
| Subjects: | H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
| Department: | SCHOOL > Labuan School of International Business and Finance |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 04 Dec 2012 17:17 |
| Last Modified: | 11 Oct 2017 09:25 |
| URI: | https://eprints.ums.edu.my/id/eprint/5539 |
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