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- Title
NONLINEARITIES IN EMERGING FOREIGN CAPITAL MARKETS.
- Authors
Sewell, Susan P.; Stansell, Stanley R.; Insup Lee; Ming-Shun Pan
- Abstract
We document evidence of nonlinear dependence in the weekly returns of five Asian stock markets and the US stock market for the period 1980 to 1989. We examine daily data during the 1983 to 1987 period to determine if nonstationarity due to structural change is the cause of the rejection of IID. We reject the notion of IID in every case except the US and conclude that nonstationarity is not the cause of rejection. We also check for conditional heteroscedasticity and find evidence that it exists in the daily data for each country except the US. We fit a stochastic GARCH model to the data and find that this model appears to capture the nonlinear dependencies in all series.
- Publication
Journal of Business Finance & Accounting, 1993, Vol 20, Issue 2, p237
- ISSN
0306-686X
- Publication type
Academic Journal
- DOI
10.1111/j.1468-5957.1993.tb00662.x