Nonlinear mean reversion in the G7 stock markets
Hyeongwoo Kim (),
Liliana Stern and
Michael Stern ()
Applied Financial Economics, 2009, vol. 19, issue 5, 347-355
Abstract:
We utilize the nonlinear unit root tests proposed by Park and Shintani (2005) and find strong evidence of nonlinear mean reversion between a US stock index and the stock indices in France, Germany, Italy and the UK. We identified an inaction band where deviations of these international stock indices from the US stock index follow a unit root process. Outside the band, however, they exhibit strong mean reversion properties. We show that standard linear unit root tests are not able to detect nonlinear cointegration and will yield the erroneous conclusion that the stock indices are not cointegrated.
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100802389007 (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:apfiec:v:19:y:2009:i:5:p:347-355
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603100802389007
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().