Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets
نویسندگان
چکیده
منابع مشابه
Mean Reversion in Stock Index Futures Markets: a Nonlinear Analysis
written while he was a Visiting Scholar at the Federal Reserve Bank of St. Louis. The authors are grateful to Abhay Abhyankar, Bernard Dumas, Mark Taylor, and Dick van Dijk for useful conversations or comments on previous drafts. The usual disclaimer applies, meaning that the authors alone are responsible for any errors that may remain and for the views expressed in the paper. *Correspondence a...
متن کاملLong Memory in emerging markets: evidence from Chinese Stock Market
Chaoqun Ma a Hongquan Li b,*1 Lin Zou (a College of Business Administration, Hunan University, Changsha, P.R.China, 410082) (b School of Business, Hunan Normal University, Changsha, P.R.China, 410081) Abstract: The notion of long memory, or long-term dependence, has received considerable attention in empirical finance. This paper makes two main contributions. First, the paper aims to provide ev...
متن کاملEvidence of Multifractality from Emerging European Stock Markets
We test for the presence of multifractality in the daily returns of the three most important stock market indices from Central and Eastern Europe, Czech PX, Hungarian BUX and Polish WIG using the Empirical Mode Decomposition based Multifractal Detrended Fluctuation Analysis. We found that the global Hurst coefficient varies with the q coefficient and that there is multifractality evidenced thro...
متن کاملMean reversion in stock market prices : New evidence based on bull and bear markets
In this paperwe testwhethermean reversion in stockmarket prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different...
متن کاملThe relationship between stock markets of major developed countries and Asian emerging markets
With the emergence of new capital markets and liberalization of stock markets in recent years, there has been an increase in investors’ interest in international diversification. This is so because international diversification allows investors to have a larger basket of foreign securities to choose from as part of their portfolio assets, so as to enhance the reward-to-volatility ratio. This be...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Economic Journal
سال: 2011
ISSN: 1016-8737,1743-517X
DOI: 10.1080/10168737.2011.580569