83
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Nonlinearities in central and eastern European stock markets

&
Pages 1363-1366 | Published online: 14 Mar 2011

References

  • Baltagi , B. H. 2005 . Econometric Analysis of Panel Data , West Sussex, , England : John Wiley and Sons .
  • Bradley , M. and Jansen , D. 2004 . Forecasting with a nonlinear dynamic model of stock returns and industrial production . International Journal of Forecasting , 20 : 321 – 42 .
  • Cerrato , M. , Peretti , C. , Larsson , R. and Sarantis , N. 2009 . “ A nonlinear panel unit root test under cross sectional dependence ” . In Working Paper No. 2009/28 , Scotland, , UK : University of Glasgow .
  • Choi , I. 2001 . Unit root tests for panel data . Journal of International Money and Finance , 20 : 249 – 72 .
  • Harrison , B. and Moore , W. 2009 . Spillover effects from London and Frankfurt to Central and Eastern European stock markets . Applied Financial Economics , 18 : 1509 – 21 .
  • Harrison , B. and Paton , D. 2005 . Transition, the evolution of stock market efficient and entry into EU: the case of Romania . Economics of Planning , 37 : 203 – 23 .
  • Im , K. S. , Pesaran , M. H. and Shin , Y. 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 : 53 – 74 .
  • Kapetanios , G. , Shin , Y. and Snell , A. 2003 . Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics , 112 : 359 – 79 .
  • Kim , S.-W. , Molick , A. V. and Nam , K. 2008 . Common nonlinearities in long-horizon stock returns: evidence from G-7 stock markets . Global Finance Journal , 19 : 19 – 31 .
  • Levin , A. , Lin , C.-F. and Chu , C.-S. 2002 . Unit root tests in panel data: asymptotic and finite-sample properties . Journal of Econometrics , 108 : 1 – 24 .
  • Maddala , G. S. and Wu , S. 1999 . A comparative study of unit root tests with panel data and a new simple test . Oxford Bulletin of Economics and Statistics , 61 : 631 – 52 .
  • Ng , S. and Perron , P. 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
  • Pesaran , M. H. 2007 . A simple panel unit root test in the presence of cross-section dependence . Journal of Applied Econometrics , 22 : 265 – 312 .
  • Rockinger , M. and Urga , G. 2001 . A time varying parameter model to test for predictability and integration in the stock markets of transition economies . Journal of Business and Economic Statistics , 19 : 73 – 84 .
  • Sarantis , N. 2001 . Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence . International Journal of Forecasting , 17 : 459 – 82 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.