Template-Type: ReDIF-Paper 1.0
Author-Name: Barry Harrison
Author-Name: Winston Moore
Title: Nonlinearities in Stock Returns for Some Recent Entrants to the EU
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.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0019/310186/Nonlinearities-in-stock-returns-for-some-recent-entrants-in-the-eu.pdf
File-Format: Application/pdf
File-Function: First version, 2010
Creation-Date: 2010-04
Classification-JEL: C32
Keywords: nonlinearities, stock markets, Central and Eastern European Countries
Handle: RePEc:nbs:wpaper:2010/1