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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

Abstract: 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)
Date: 2010-04
New Economics Papers: this item is included in nep-tra
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http://www.ntu.ac.uk/__data/assets/pdf_file/0019/3 ... trants-in-the-eu.pdf First version, 2010 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:nbs:wpaper:2010/1

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