Nonlinear behaviour in EMBI series from Eastern Europe: evidence of 'window size effect'

Christian Espinosa-Méndez, Juan Gorigoit�a, Carlos Maquieira and João paulo Vieito ()
Authors registered in the RePEc Author Service: Juan Gorigoitia

Applied Economics Letters, 2014, vol. 21, issue 2, 107-112

Abstract: The main objective of this article is to explore how the number of observations included in a window may impact the rejection rate of linear windows. We employ two methodologies proposed in the literature in order to study the linear and nonlinear behaviour. We use daily Emerging Markets Bond Index (EMBI) index spreads from six of the most important Eastern European countries (Bulgaria, Hungry, Poland, Russia, Serbia and Ukraine). The empirical results show what we call 'window size effect' because when we include more than 50 observations in each window, the rejection rate increases using the two different methodologies. Therefore, our findings support the idea that, even in this well informed and sophisticated market, the weak-form of the efficient market hypothesis cannot be confirmed.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2013.842627 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:21:y:2014:i:2:p:107-112

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2013.842627

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().