Acceso al sitio web del Consejo de Políticas de Infraestructura

   
Redirigiendo al acceso original de articulo en 18 segundos...
ARTÍCULO
TITULO

Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical

Seyyed Ali Paytakhti Oskooe    

Resumen

This study examines whether the nonlinear adjustment dynamic of stock returns to the equilibrium level in an emerging stock market is symmetrical or asymmetrical. The empirical results suggest that the data generating process of Iran stock returns series is nonlinear Smooth Transition Autoregressive (STAR) and dynamic adjustment of the stock returns to the long run equilibrium level is asymmetric. The adjustment mechanism of the Iran stock returns deviations from the equilibrium level are different in the bull and bear markets.Keywords: Stock returns; Smooth transition; Bull and bear marketsJEL Classifications: G12; G14; G15; C22

PÁGINAS
pp. 179 - 183
MATERIAS
ECONOMÍA

 Artículos similares

       
 
Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod and Bin Zhang    
The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rational... ver más

 
Maaz Khan, Mrestyal Khan, Umar Nawaz Kayani, Khurrum Shahzad Mughal and Roohi Mumtaz    
This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover... ver más

 
Hock-Ann Lee, Venus Khim-Sen Liew, Mohd Fahmi Ghazali and Samina Riaz    
The COVID-19 outbreak slowed down global economic activities substantially, resulting in unrest in the financial markets, especially in the beginning of the pandemic outbreak. This study aims to investigate if COVID-19 caused abnormal returns in the US a... ver más

 
Loc Dong Truong, Giang Ngan Cao, H. Swint Friday and Nhien Tuyet Doan    
The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5... ver más

 
Umar Butt and Trevor William Chamberlain    
This paper examines the relationship between the presence of blockholdings and stock returns and return volatility in the United Arab Emirates. Earlier studies report mixed results for the direction of the relationships across both developed and emerging... ver más