On Nonlinearities in KSE 100 Index Stock Returns  

Oleh:

Kiani, Khurshid M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Business Review vol. 3 no. 1 (Jan. 2008), page 79-90.
Topik: Asymmetries; Nonlinearities; Principal Components; Excess Stock Returns

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: BB49 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This research investigates possible existence of asymmteries in business cycle fluctuations in Karachi Stock Exchange (KSE) 100 index over money market rates. I model the relationship between excess stock return in KSE 100 index using a number of nonlinear time series models for constructing linearity tests for testing linearity in KSE 100 excess returns. These tests include Keenan test, Ramsay RESET test, and its improved versions i.e. RESET1 and RESET2 test. The results based on Keenan test show statictically significant evidence of nonlinearities in KSE 100 excess returns. Likewise the results from Ramsay RESET test confirm this behavior. However, the results from RESET1 test fail to reveal statistically significant evidence of nonlinearities in KSE 100 excess returns. Similarly, RESET2 test failed to reject the linearity hypothesis for KSE 100 index excess returns.

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