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

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  • Babangida, Jamilu Said

    (Ahmadu Bello University, Nigeria; Griffith University, Australia;)

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).

Suggested Citation

  • Babangida, Jamilu Said, 2023. "Nonlinearity in emerging market indices: A comprehensive study of stock exchange market dynamics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 72, pages 23-37.
    • Handle: RePEc:ris:apltrx:0483
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    References listed on IDEAS

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    More about this item

    Keywords

    efficient market hypothesis; emerging economies; stock exchange market; nonlinearity; threshold model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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