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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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Main Authors: Lim, Kian-Ping, Liew, Venus Khim-Sen
Format: E-Article
Language:English
Published: Taylor & Francis Group 2007
Subjects:
HB Economic Theory
Online Access: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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spelling my.unimas.ir.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 E-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
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Lim, Kian-Ping
Liew, Venus Khim-Sen
Nonlinear mean reversion in stock prices: evidence from Asian markets
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.
format E-Article
author Lim, Kian-Ping
Liew, Venus Khim-Sen
author_facet Lim, Kian-Ping
Liew, Venus Khim-Sen
author_sort Lim, Kian-Ping
title Nonlinear mean reversion in stock prices: evidence from Asian markets
title_short 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_sort nonlinear mean reversion in stock prices: evidence from asian markets
publisher Taylor & Francis Group
publishDate 2007
url 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
_version_ 1644512901817434112
score 13.211869

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