TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA

Autor:	Samir Saadi, Devinder K. Gandhi, Shantanu Dutta
Rok vydání:	2006
Předmět:	Market depth Capital market line Financial economics Financial market Economics Market microstructure Security market line Emerging markets General Economics Econometrics and Finance Financial market efficiency Capital market Finance
Zdroj:	International Journal of Theoretical and Applied Finance. :1021-1050
ISSN:	1793-6322 0219-0249
DOI:	10.1142/s0219024906003950
Popis:	Capital market efficiency of emerging markets has been investigated widely in recent years. But to-date the empirical results remain inconclusive because most empirical studies use empirical tests, which are designed to detect linear structure in financial time series. However, recent developments in econometrics of financial markets show evidence of nonlinear relationships in asset returns in developed markets. Given the features of emerging capital markets, nonlinearity is most likely to be even more present in these developing markets compared to developed ones. In the present paper we reject the weak-form efficient market hypothesis of the Tunisian Stock Market (TSE). Using the BDS test, we find evidence of nonlinearity in variance, and develop a FIEGARCH (1, 1) model accordingly.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::44b2d41265f214028968765c5a3bc61a https://doi.org/10.1142/s0219024906003950 Zobrazit plný text záznamu