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Applied Economics Letters Volume 4, 1997 - Issue 10
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Original Articles

Nonlinear dependence and conditional heteroscedasticity in stock returns: UK evidence

M. F. Omran Department of Acturial Mathematics and Statistics, Heriot–Watt University, Edinburgh, EH14 4AS, UK
Pages 647-650 | Received 28 Aug 1996, Published online: 02 Nov 2006
 
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Abstract

The BDS test is used to investigate whether stock returns for five companies and the FTALL index exhibit nonlinear dependence. It is found that conditional heteroscedasticity account for most of the nonlinearity of stock returns in the UK.

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