Non-linear dependence in the Malaysian stock market

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Non-linear dependence in the Malaysian stock market

This study empirically investigates the presence of non-linearity in the Malaysian stock market, employing the Brock-Dechert-Scheinkman (BDS) and Hinich bispectrum tests. The BDS results reveal that the characteristics of the returns series in the Malaysian stock market are driven by non-linear mech...

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Bibliographic Details
Main Authors:	Lim, Kian Ping, Habibullah, Muzafar Shah, Lee, Hock Ann
Format:	Article
Language:	English
Published:	Universiti Putra Malaysia Press 2005
Online Access:	http://psasir.upm.edu.my/id/eprint/3499/ http://psasir.upm.edu.my/id/eprint/3499/1/Non-linear_Dependence_in_the_Malaysian_Stock_Market.pdf

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