Non-linear dependence in the Malaysian stock market
This study empirically investigates the presence of non-linearity in the Malaysian stock market, employing the Brock-Dechert-Scheinkman (BDS) and Hinich bispectrum tests. The BDS results reveal that the characteristics of the returns series in the Malaysian stock market are driven by non-linear mech...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2005
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| Online Access: | http://psasir.upm.edu.my/id/eprint/3499/1/Non-linear_Dependence_in_the_Malaysian_Stock_Market.pdf |