Beg, A. B. M. Rabiul Alam (2005) Testing and modeling nonlinearity of the stocks returns. In: Proceedings of ABBSA Conference 2005. pp. 48-56. From: ABBSA Conference 2005, 5-7 August 2005, Cairns, QLD, Australia.

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Abstract

Most of the earlier work on time series analysis was based on the assumption of linearity of the data generating processes. However, there are occasions when the theory and data suggest that linear models are unsatisfactory. In this paper we have applied a few nonlinearity tests to the world stocks prices. It is found that all of the six stock prices considered in this paper are nonstationary. The stock's returns, however, are all stationary. Nonlinearity tests revel that not all of the returns series are linear. Hence modeling nonlinearity is eminent.

Item ID:	7551
Item Type:	Conference Item (Research - E1)
ISBN:	0-646-45032-8
Keywords:	linearity; nonlinearity tests; nonnormality; nonstationarity; stock returns
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Date Deposited:	10 Feb 2010 00:21
FoR Codes:	14 ECONOMICS > 1403 Econometrics > 140302 Econometric and Statistical Methods @ 100%
SEO Codes:	91 ECONOMIC FRAMEWORK > 9105 Measurement Standards and Calibration Services > 910599 Measurement Standards and Calibration Services not elsewhere classified @ 100%
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