Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets
Shu-Ling Chen and
Hyeongwoo Kim ()
MPRA Paper from University Library of Munich, Germany
This paper seeks empirical evidence of nonlinear mean-reversion in relative national stock price indices for Emerging Asian countries. It is well known that conventional linear unit root tests suffer from low power against the stationary nonlinear alternative. Implementing the nonlinear unit root tests proposed by Kapetanios, et al. (2003) and Cerrato, et al. (2009) for the relative stock prices of Emerging Asian markets, we find strong evidence of nonlinear mean reversion, whereas linear tests fail to reject the unit root null for most cases. We also report some evidence that stock markets in China and Taiwan are highly localized.
Keywords: Linear Unit Root Test; Nonlinear Unit Root Test; Nonlinear Panel Unit Root Test; International Relative Stock Prices (search for similar items in EconPapers)
JEL-codes: C22 G10 G15 (search for similar items in EconPapers)
Date: 2008-08, Revised 2009-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/18680/1/MPRA_paper_18680.pdf original version (application/pdf)
Journal Article: Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:18680
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().