EconPapers    
Economics at your fingertips  
 

Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets

Shu-Ling Chen and Hyeongwoo Kim ()

International Economic Journal, 2011, vol. 25, issue 2, pages 239-250

Abstract: This paper seeks empirical evidence of nonlinear mean-reversion in relative national stock price indices for Emerging Asian countries. It is well known that conventional linear unit root tests suffer from low power against the stationary nonlinear alternative. Implementing the nonlinear unit root tests proposed by Kapetanios et al. (2003) and Cerrato et al. (2009) for the relative stock prices of Emerging Asian markets, we find strong evidence of nonlinear mean reversion, whereas linear tests fail to reject the unit root null for most cases. We also report some evidence that stock markets in China and Taiwan are highly localized.

Keywords: Linear unit root test; nonlinear unit root test; nonlinear panel unit root test; international relative stock prices (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/10168737.2011.580569 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets (2009) Downloads
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: http://EconPapers.repec.org/RePEc:taf:intecj:v:25:y:2011:i:2:p:239-250

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RIEJ20

Access Statistics for this article

International Economic Journal is currently edited by Jaymin Lee Editor

More articles in International Economic Journal from Taylor & Francis Journals
Series data maintained by Michael McNulty ().

 
Page updated 2014-10-24
Handle: RePEc:taf:intecj:v:25:y:2011:i:2:p:239-250