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
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)
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
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
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 ().