BibTex RIS Cite

Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical

Year 2012, Volume: 2 Issue: 2, 179 - 183, 01.06.2012

Seyyed Ali Paytakhti Oskooe

https://izlik.org/JA92XN28HL

Abstract

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

Year 2012, Volume: 2 Issue: 2, 179 - 183, 01.06.2012

Seyyed Ali Paytakhti Oskooe

https://izlik.org/JA92XN28HL

Abstract

There are 0 citations in total.

Details

Other ID JA34FD43HR
Authors

Seyyed Ali Paytakhti Oskooe This is me

Publication Date June 1, 2012
IZ https://izlik.org/JA92XN28HL
Published in Issue Year 2012 Volume: 2 Issue: 2

Cite

APA Oskooe, S. A. P. (2012). Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical. International Journal of Economics and Financial Issues, 2(2), 179-183. https://izlik.org/JA92XN28HL
AMA 1.Oskooe SAP. Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical. IJEFI. 2012;2(2):179-183. https://izlik.org/JA92XN28HL
Chicago Oskooe, Seyyed Ali Paytakhti. 2012. “Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical”. International Journal of Economics and Financial Issues 2 (2): 179-83. https://izlik.org/JA92XN28HL.
EndNote Oskooe SAP (June 1, 2012) Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical. International Journal of Economics and Financial Issues 2 2 179–183.
IEEE [1]S. A. P. Oskooe, “Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical”, IJEFI, vol. 2, no. 2, pp. 179–183, June 2012, [Online]. Available: https://izlik.org/JA92XN28HL
ISNAD Oskooe, Seyyed Ali Paytakhti. “Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical”. International Journal of Economics and Financial Issues 2/2 (June 1, 2012): 179-183. https://izlik.org/JA92XN28HL.
JAMA 1.Oskooe SAP. Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical. IJEFI. 2012;2:179–183.
MLA Oskooe, Seyyed Ali Paytakhti. “Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical”. International Journal of Economics and Financial Issues, vol. 2, no. 2, June 2012, pp. 179-83, https://izlik.org/JA92XN28HL.
Vancouver 1.Seyyed Ali Paytakhti Oskooe. Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical. IJEFI [Internet]. 2012 Jun. 1;2(2):179-83. Available from: https://izlik.org/JA92XN28HL