Nonlinearities in Stock Returns for Some Recent Entrants to the EU

Barry Harrison and Winston Moore

NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University

Abstract: In this paper we use nonlinear tests to investigate the mean reverting properties of stock returns in a group of CEE markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross sectional dependence. Our results indicate that all series’ are stationary, but we find some ambiguity in the results of our tests for cross sectional dependence.

Keywords: nonlinearities; stock markets; Central and Eastern European Countries (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2010-04
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.ntu.ac.uk/__data/assets/pdf_file/0019/3 ... trants-in-the-eu.pdf First version, 2010 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbs:wpaper:2010/1

Access Statistics for this paper

More papers in NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
Bibliographic data for series maintained by King Lim ( this e-mail address is bad, please contact ).