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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Main Authors: Lim, Kian-Ping, Liew, Venus Khim-Sen
格式: E-Article
語言:English
出版: Taylor & Francis Group 2007
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在線閱讀:http://ir.unimas.my/id/eprint/18646/7/Nonlinear%20mean%20reversion%20in%20stock%20%28abstract%29.pdf
http://ir.unimas.my/id/eprint/18646/
http://dx.doi.org/10.1080/17446540600796073
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