Nonlinearity in emerging market indices: A comprehensive study of stock exchange market dynamics

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2023-01-01 DOI:10.22394/1993-7601-2023-72-23-37

Jamilu Said Babangida

引用次数: 0

Abstract

This research examines the presence of nonlinearities in N‑11 developing economies using various nonlinearity tests. The initial tests include BDS and Runs tests as indicators of nonlinearity. Subsequently, direct nonlinearity tests by White (1989) and Teräsvirta et al. (1993), Keenan (1985) and Tsay (1986) are employed. Finally, the Threshold Autoregressive test is conducted to complement other test. The results reveal the prevalence of nonlinearities and cyclical patterns in the stock indexes of these economies, challenging the assumptions of the Efficient Market Hypothesis (EMH).

查看原文本刊更多论文

新兴市场指数的非线性:证券交易所市场动态的综合研究

本研究使用各种非线性检验检验了N - 11发展中经济体中非线性的存在。初始测试包括BDS和Runs测试，作为非线性指标。随后，采用White(1989)、Teräsvirta等人(1993)、Keenan(1985)和Tsay(1986)的直接非线性检验。最后，进行阈值自回归检验，以补充其他检验。研究结果表明，这些经济体的股票指数普遍存在非线性和周期性模式，这对有效市场假说(EMH)的假设提出了挑战。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.