Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries
Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investigate the issue of the non-stationarity and non-linearity of stock prices. The results convincingly support the view that the stock prices in the OECD countries are characterized by a two-regime Markov...
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ftrepec:oai:RePEc:ebl:ecbull:eb-08c20012 2024-04-14T08:13:43+00:00 Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries Shyh-Wei Chen http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C20012A.pdf unknown http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C20012A.pdf article ftrepec 2024-03-19T10:36:06Z Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investigate the issue of the non-stationarity and non-linearity of stock prices. The results convincingly support the view that the stock prices in the OECD countries are characterized by a two-regime Markov Switching unit root process. For Australia, Austria, Belgium, Finland, Iceland, Ireland, Netherlands and New Zealand, stock prices are characterized by a unit root process, consistent with the efficient market hypothesis that the stock price is either in the high-volatility regime or in the low-volatility regime. For Czech Republic, Denmark and Greece, the shocks to stock prices are highly persistent in one regime, but have finite lives in the other regime. The high-volatility regime arises in most of the countries considered and it tends to prevail over a relatively long period. Article in Journal/Newspaper Iceland RePEc (Research Papers in Economics) New Zealand |
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RePEc (Research Papers in Economics) |
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Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investigate the issue of the non-stationarity and non-linearity of stock prices. The results convincingly support the view that the stock prices in the OECD countries are characterized by a two-regime Markov Switching unit root process. For Australia, Austria, Belgium, Finland, Iceland, Ireland, Netherlands and New Zealand, stock prices are characterized by a unit root process, consistent with the efficient market hypothesis that the stock price is either in the high-volatility regime or in the low-volatility regime. For Czech Republic, Denmark and Greece, the shocks to stock prices are highly persistent in one regime, but have finite lives in the other regime. The high-volatility regime arises in most of the countries considered and it tends to prevail over a relatively long period. |
format |
Article in Journal/Newspaper |
author |
Shyh-Wei Chen |
spellingShingle |
Shyh-Wei Chen Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
author_facet |
Shyh-Wei Chen |
author_sort |
Shyh-Wei Chen |
title |
Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
title_short |
Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
title_full |
Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
title_fullStr |
Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
title_full_unstemmed |
Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries |
title_sort |
non-stationarity and non-linearity in stock prices: evidence from the oecd countries |
url |
http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C20012A.pdf |
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New Zealand |
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New Zealand |
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Iceland |
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Iceland |
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http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C20012A.pdf |
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1796311762139611136 |