Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

Xi-Yuan Qian, Fu-Tie Song and Wei-Xing Zhou
Additional contact information
Xi-Yuan Qian: ECUST
Fu-Tie Song: ECUST

Papers from arXiv.org

Abstract: We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen. The method allows us to simultaneously consider non-stationarity and nonlinearity in financial time series. Our finding indicates that the Shanghai stock market exhibits nonlinear behavior with two regimes and has unit roots in both regimes. The important implications of the threshold effect in stock markets are also discussed.

Date: 2007-07
References: Add references at CitEc
Citations:

Published in Physica A 387 (2-3), 503-510 (2008)

Downloads: (external link)
http://arxiv.org/pdf/0707.2284 Latest version (application/pdf)

Related works:
Journal Article: Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests (2008)
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:arx:papers:0707.2284

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().