Nonlinearities in Stock Returns for Some Recent Entrants to the EU
Barry Harrison and
Winston Moore ()
NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
In this paper we use nonlinear tests to investigate the mean reverting properties of stock returns in a group of 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 all series’ are stationary, but we find some ambiguity in the results of our tests for cross sectional dependence.
Keywords: nonlinearities; stock markets; Central and Eastern European Countries (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:nbs:wpaper:2010/1
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