| Author: | Solibakke, P.B. |
| Title: | Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the Norwegian thinly traded equity market |
| Journal: | European Journal of Finance
2005 : APR, VOL 11:2, p. 111-136 |
| Index terms: | Stock markets Trading Models Scandinavia Nordic countries Norway |
| Language: | eng |
| Abstract: | This paper investigates the presence of non-linear (hereafter as: n-l.) dependencies (as: n-l-dep./n-l-deps.) in stock returns (here as: rets.) for the Norwegian equity market. There are three n-l. models of asset rets. formulated applying ARMA-GARCH specifications for the conditional mean and variance equations. The paper aims to answer which model has the necessary characteristics, sufficient to account for most of the n-l-dep. In the Norwegian equity market, most of the n-l-dep. seems to be conditional heteroscedasticity. However, the most thinly traded assets still report significant n-l-dep. for all n-l. specifications. The results imply that the independence hypothesis can be rejected for all assets, portfolios and indices. |
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