Nonlinearities in Stock Returns for Some Recent Entrants to the EU

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.

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Year of publication:	2010-04
Authors:	Harrison, Barry ; Moore, Winston
Institutions:	Nottingham Trent University, Nottingham Business School, Economics Division
Subject:	nonlinearities \| stock markets \| Central and Eastern European Countries

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008621763