haku: @indexterm RATE OF RETURN / yhteensä: 621
viite: 98 / 621
| Tekijä: | Sewell, S. P. |
| Otsikko: | Nonlinearities in emerging foreign capital markets. |
| Lehti: | Journal of Business Finance and Accounting
1993 : JAN, VOL. 20:2, p. 237-248 |
| Asiasana: | PACIFIC, THE RATE OF RETURN STOCK MARKETS FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper examines nonstationarity as a possible explanation for the nonlinear dependencies documented in the Pacific rim countries of Japan, Korea, Hong Kong , Singapore and Taiwan. In a mature market, such as Japan or the United States, it is reasonable to expect that more complex dynamics, such as nonlinear stochastic systems, are the underlying cause of the rejection of identical and independent distribution (IID). Authors examine weekly data from 1980 to 1989 and daily data for a subset of that time period. By using higher frequency data over shorter periods, they seek to remove the effects of structural change. The subsets are selected based on major policy changes in the country, such as removal of trading barriers to foreigners. |
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