Seyyed Ali Paytakhti Oskooe

6699

Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical

Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical

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 markets,

International Journal of Economics and Financial Issues-Cover

Başlangıç: 2011
Yayıncı: İlhan ÖZTÜRK

Arşiv

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