Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets
With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich bispectrum t...
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| Main Authors: | , , , |
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| Format: | E-Article |
| Language: | English |
| Published: |
Munich University Library
2003
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18600/8/ARE%20NON-LINEAR%20DYNAMICS%20A%20UNIVERSAL%20OCCURRENCE%20%28abstract%29.pdf http://ir.unimas.my/id/eprint/18600/ https://econpapers.repec.org/paper/wpawuwpfi/0308001.htm |
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| Summary: | With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal
occurrence?”. The results from the Hinich bispectrum test indicate strong evidence of non-linearity in all the Asian stock markets under investigate- Japan, Hong Kong, Singapore and Malaysia. These findings further add to the empirical support that nonlinearity is a salient feature in stock market time series data and have important implications for works on market efficiency, modelling and pricing and hedging strategies in derivatives markets. |
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