Nonlinear dynamics in CEE stock markets indices

Petre Caraiani

Economics Letters, 2012, vol. 114, issue 3, 329-331

Abstract: We investigate the existence of nonlinearities in the dynamics of the returns of stock markets indices from CEE economies. We use several types of nonlinear tests. We discuss the implications of the results with respect to the efficient market hypothesis.

Keywords: Nonlinear models; Threshold autoregression; Smooth transition autoregression; Simulation techniques; Chaos theory (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:3:p:329-331

DOI: 10.1016/j.econlet.2011.11.010

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