Are Non-Linear Dynamics A Universal Occurrence? Further Evidence From Asian Stock Markets

• Main Authors: Lim, Kian-Ping, Azali, M., Habibullah, M.S., Liew, Venus Khim-Sen
• Format: E-Article
• Language: English
• Published: Munich University Library 2003
• Subjects: HB Economic Theory
• 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

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.