Nonlinearities in central and eastern European stock markets

Barry Harrison and Winston Moore

Applied Economics Letters, 2011, vol. 18, issue 14, 1363-1366

Abstract: In this article we use nonlinear tests to investigate the mean reverting properties of stock prices in a group of Central and East European (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 ignoring the nonlinearity in the stock prices of CEE countries could result in misleading inferences.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:14:p:1363-1366

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DOI: 10.1080/13504851.2010.537622

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