Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies

Graham Newell, Maurice Peat and Max Stevenson
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Maurice Peat: Discipline of Finance, University of Sydney
Max Stevenson: Discipline of Finance, University of Sydney

No 73, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: In this paper we have tested for evidence of nonlinear structure in United Kingdom asset returns including those of real estate and investment trusts, stock market indices and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear deterministic (chaotic) structure against a random alternative, others have power against nonlinear stochastic structure. If nonlinear deterministic and random walk models are not appropriate to explain asset returns behaviour, then stochastic nonlinearity seems like a logical alternative. The results from our study lead us to that conclusion.

Pages: 35 pages
Date: 1997-05-01
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Citations: View citations in EconPapers (2)

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