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 |
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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 |
| _version_ | 1825943500140576768 |
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| author | Lim, Kian Ping Habibullah, Muzafar Shah Lee, Hock Ann |
| author_facet | Lim, Kian Ping Habibullah, Muzafar Shah Lee, Hock Ann |
| author_sort | Lim, Kian Ping |
| collection | UPM |
| description | 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 mechanisms. Subsequent application of the Hinich bispectrum test confirms the results of the BDS test. The result of the present study has strong implications on the empirical work involving the Malaysian stock market as the existence of non-linearity suggests the inappropriateness
of using linear methods for drawing inferences. |
| first_indexed | 2024-03-06T07:01:18Z |
| format | Article |
| id | upm.eprints-3499 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T07:01:18Z |
| publishDate | 2005 |
| publisher | Universiti Putra Malaysia Press |
| record_format | dspace |
| spelling | upm.eprints-34992015-09-14T03:42:58Z http://psasir.upm.edu.my/id/eprint/3499/ Non-linear dependence in the Malaysian stock market Lim, Kian Ping Habibullah, Muzafar Shah Lee, Hock Ann 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 mechanisms. Subsequent application of the Hinich bispectrum test confirms the results of the BDS test. The result of the present study has strong implications on the empirical work involving the Malaysian stock market as the existence of non-linearity suggests the inappropriateness of using linear methods for drawing inferences. Universiti Putra Malaysia Press 2005-03 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3499/1/Non-linear_Dependence_in_the_Malaysian_Stock_Market.pdf Lim, Kian Ping and Habibullah, Muzafar Shah and Lee, Hock Ann (2005) Non-linear dependence in the Malaysian stock market. Pertanika Journal of Social Sciences & Humanities, 13 (1). pp. 23-38. ISSN 0128-7702; ESSN: 2231-8534 http://www.pertanika.upm.edu.my/view_archives.php?journal=JSSH-13-1-3 |
| spellingShingle | Lim, Kian Ping Habibullah, Muzafar Shah Lee, Hock Ann Non-linear dependence in the Malaysian stock market |
| title | Non-linear dependence in the Malaysian stock market |
| title_full | Non-linear dependence in the Malaysian stock market |
| title_fullStr | Non-linear dependence in the Malaysian stock market |
| title_full_unstemmed | Non-linear dependence in the Malaysian stock market |
| title_short | Non-linear dependence in the Malaysian stock market |
| title_sort | non linear dependence in the malaysian stock market |
| url | http://psasir.upm.edu.my/id/eprint/3499/1/Non-linear_Dependence_in_the_Malaysian_Stock_Market.pdf |
| work_keys_str_mv | AT limkianping nonlineardependenceinthemalaysianstockmarket AT habibullahmuzafarshah nonlineardependenceinthemalaysianstockmarket AT leehockann nonlineardependenceinthemalaysianstockmarket |