Nonlinear dynamics in multinational financial data
Dimitrios Tsoukalas
(School of Management, Purdue University‐Calumet, 2220 169th St., Hammond, IN, 463232, USA)
Musa Darayseh
(School of Management, Purdue University‐Calumet, 2220 169th St., Hammond, IN, 463232, USA)
Elaine Waples
(School of Management, Purdue University‐Calumet, 2220 169th St., Hammond, IN, 463232, USA)
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Abstract
We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important implications for financial analysts. The results provide evidence of nonlinear structure in stock returns, in the three markets, suggesting that linear models, such as Ordinary Least Squares or Vector Autoregressive (VAR), may not always be appropriate for analyzing data.
Keywords
Citation
Tsoukalas, D., Darayseh, M. and Waples, E. (2003), "Nonlinear dynamics in multinational financial data", Managerial Finance, Vol. 29 No. 8, pp. 1-8. https://doi.org/10.1108/03074350310768382
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited