Nonlinear mean reversion in stock prices: evidence from Asian markets
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 m...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2007
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| Online Access: | http://ir.unimas.my/18646/ http://ir.unimas.my/18646/ http://ir.unimas.my/18646/ http://ir.unimas.my/18646/7/Nonlinear%20mean%20reversion%20in%20stock%20%28abstract%29.pdf |