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Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets

Author

Listed:
  • Kian-Ping Lim

    (Universiti Malaysia Sabah)

  • M. Azali

    (Universiti Putra Malaysia)

  • M.S. Habibullah

    (Universiti Putra Malaysia)

  • Venus Khim-Sen Liew

    (Universiti Putra Malaysia)

Abstract

With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich bispectrum test indicate strong evidence of non-linearity in all the Asian stock markets under investigate- Japan, Hong Kong, Singapore and Malaysia. These findings further add to the empirical support that non-linearity is a salient feature in stock market time series data and have important implications for works on market efficiency, modelling and pricing and hedging strategies in derivatives markets.

Suggested Citation

  • Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0308001
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    References listed on IDEAS

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    Cited by:

    1. Kian-Ping Lim & Venus Khim-Sen Liew & Hock-Tsen Wong, 2003. "Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange," Finance 0312012, University Library of Munich, Germany.

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    More about this item

    Keywords

    Non-linearity; Data generating process; Hinich bispectrum test; Asian stock markets.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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