Nonlinear mean reversion in stock prices: evidence from Asian markets

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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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Bibliographic Details
Main Authors:	Lim, Kian-Ping, Liew, Venus Khim-Sen
Format:	Article
Language:	English
Published:	Taylor & Francis Group 2007
Subjects:	HB Economic Theory
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

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