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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| 主要な著者: | , |
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| フォーマット: | E-Article |
| 言語: | English |
| 出版事項: |
Taylor & Francis Group
2007
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| 主題: | |
| オンライン･アクセス: | 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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