Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets
With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich bispectrum t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Munich University Library
2003
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| Online Access: | http://ir.unimas.my/id/eprint/18600/ http://ir.unimas.my/id/eprint/18600/8/ARE%20NON-LINEAR%20DYNAMICS%20A%20UNIVERSAL%20OCCURRENCE%20%28abstract%29.pdf |
| _version_ | 1848838547024379904 |
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| author | Lim, Kian-Ping Azali, M. Habibullah, M.S. Liew, Venus Khim-Sen |
| author_facet | Lim, Kian-Ping Azali, M. Habibullah, M.S. Liew, Venus Khim-Sen |
| author_sort | Lim, Kian-Ping |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal
occurrence?”. The results from the Hinich bispectrum test indicate strong evidence of non-linearity in all the Asian stock markets under investigate- Japan, Hong Kong, Singapore and Malaysia. These findings further add to the empirical support that nonlinearity is a salient feature in stock market time series data and have important implications for works on market efficiency, modelling and pricing and hedging strategies in derivatives markets. |
| first_indexed | 2025-11-15T06:57:17Z |
| format | Article |
| id | unimas-18600 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:17Z |
| publishDate | 2003 |
| publisher | Munich University Library |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-186002017-11-27T03:40:31Z http://ir.unimas.my/id/eprint/18600/ Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets Lim, Kian-Ping Azali, M. Habibullah, M.S. Liew, Venus Khim-Sen HB Economic Theory With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich bispectrum test indicate strong evidence of non-linearity in all the Asian stock markets under investigate- Japan, Hong Kong, Singapore and Malaysia. These findings further add to the empirical support that nonlinearity is a salient feature in stock market time series data and have important implications for works on market efficiency, modelling and pricing and hedging strategies in derivatives markets. Munich University Library 2003 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18600/8/ARE%20NON-LINEAR%20DYNAMICS%20A%20UNIVERSAL%20OCCURRENCE%20%28abstract%29.pdf Lim, Kian-Ping and Azali, M. and Habibullah, M.S. and Liew, Venus Khim-Sen (2003) Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets. Munich Personal RePEc Archive. pp. 1-13. ISSN 2285-6803 https://econpapers.repec.org/paper/wpawuwpfi/0308001.htm |
| spellingShingle | HB Economic Theory Lim, Kian-Ping Azali, M. Habibullah, M.S. Liew, Venus Khim-Sen Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets |
| title | Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets |
| title_full | Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets |
| title_fullStr | Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets |
| title_full_unstemmed | Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets |
| title_short | Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets |
| title_sort | are non-linear dynamics a universal occurrence? further evidence from asian stock markets |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18600/ http://ir.unimas.my/id/eprint/18600/ http://ir.unimas.my/id/eprint/18600/8/ARE%20NON-LINEAR%20DYNAMICS%20A%20UNIVERSAL%20OCCURRENCE%20%28abstract%29.pdf |