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Nonlinearities in central and eastern European stock markets

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  • Barry Harrison
  • Winston Moore

Abstract

In this article we use nonlinear tests to investigate the mean reverting properties of stock prices in a group of Central and East European (CEE) markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross-sectional dependence. Our results indicate that ignoring the nonlinearity in the stock prices of CEE countries could result in misleading inferences.

Suggested Citation

  • Barry Harrison & Winston Moore, 2011. "Nonlinearities in central and eastern European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1363-1366.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:14:p:1363-1366
    DOI: 10.1080/13504851.2010.537622
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    References listed on IDEAS

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    Cited by:

    1. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
    2. Houda Rharrabti, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," Working Papers hal-04141380, HAL.

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