Hiremath, Gourishankar S; Kamaiah, Bandi - In: Journal of Quantitative Economics 8 (2010) January, pp. 69-85
This paper examines non-linear dependence in Indian stock returns using a set of non-linearity tests. The daily data between 1997 and 2009 for eight indices from National Stock Exchange (NSE) and six indices from Bombay Stock Exchange (BSE) are used. The results suggest strong evidence of...