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...
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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/id/eprint/18646/ http://ir.unimas.my/id/eprint/18646/7/Nonlinear%20mean%20reversion%20in%20stock%20%28abstract%29.pdf |
| _version_ | 1848838557165158400 |
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| author | Lim, Kian-Ping Liew, Venus Khim-Sen |
| author_facet | Lim, Kian-Ping Liew, Venus Khim-Sen |
| author_sort | Lim, Kian-Ping |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T06:57:27Z |
| format | Article |
| id | unimas-18646 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:27Z |
| publishDate | 2007 |
| publisher | Taylor & Francis Group |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-186462017-11-20T08:06:59Z http://ir.unimas.my/id/eprint/18646/ Nonlinear mean reversion in stock prices: evidence from Asian markets Lim, Kian-Ping Liew, Venus Khim-Sen HB Economic Theory 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. Taylor & Francis Group 2007 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18646/7/Nonlinear%20mean%20reversion%20in%20stock%20%28abstract%29.pdf Lim, Kian-Ping and Liew, Venus Khim-Sen (2007) Nonlinear mean reversion in stock prices: evidence from Asian markets. Applied Financial Economics Letters, 3. pp. 25-29. ISSN 1744–6546 http://dx.doi.org/10.1080/17446540600796073 Doi : 10.1080/17446540600796073 |
| spellingShingle | HB Economic Theory Lim, Kian-Ping Liew, Venus Khim-Sen Nonlinear mean reversion in stock prices: evidence from Asian markets |
| title | Nonlinear mean reversion in stock prices: evidence from Asian markets |
| title_full | Nonlinear mean reversion in stock prices: evidence from Asian markets |
| title_fullStr | Nonlinear mean reversion in stock prices: evidence from Asian markets |
| title_full_unstemmed | Nonlinear mean reversion in stock prices: evidence from Asian markets |
| title_short | Nonlinear mean reversion in stock prices: evidence from Asian markets |
| title_sort | nonlinear mean reversion in stock prices: evidence from asian markets |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18646/ http://ir.unimas.my/id/eprint/18646/ http://ir.unimas.my/id/eprint/18646/ http://ir.unimas.my/id/eprint/18646/7/Nonlinear%20mean%20reversion%20in%20stock%20%28abstract%29.pdf |