Testing for unit root bilinearity in the Brazilian stock market

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2007
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/361
https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
Resumo: In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of nonlinear unit roots in Brazilian equity shares. The empirical evidence for a set of 53 individual stocks, after adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore, the dynamics of Brazilian share prices is in conformity with this type of nonlinearity. These nonlinearities in spot prices may emerge due to the sophistication of the derivatives market.
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spelling Tabak, Benjamin Miranda2016-10-10T03:52:00Z2016-10-10T03:52:00Z2007TABAK, Benjamin Miranda. Testing for unit root bilinearity in the Brazilian stock market. Physica. A , v. 385, p. 261-269, 2007.http://twingo.ucb.br:8080/jspui/handle/10869/361https://repositorio.ucb.br:9443/jspui/handle/123456789/7593In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of nonlinear unit roots in Brazilian equity shares. The empirical evidence for a set of 53 individual stocks, after adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore, the dynamics of Brazilian share prices is in conformity with this type of nonlinearity. These nonlinearities in spot prices may emerge due to the sophistication of the derivatives market.Made available in DSpace on 2016-10-10T03:52:00Z (GMT). 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dc.title.pt_BR.fl_str_mv Testing for unit root bilinearity in the Brazilian stock market
title Testing for unit root bilinearity in the Brazilian stock market
spellingShingle Testing for unit root bilinearity in the Brazilian stock market
Tabak, Benjamin Miranda
Bilinear unit root
GARCH
Equity prices
Emerging markets
Market efficiency
title_short Testing for unit root bilinearity in the Brazilian stock market
title_full Testing for unit root bilinearity in the Brazilian stock market
title_fullStr Testing for unit root bilinearity in the Brazilian stock market
title_full_unstemmed Testing for unit root bilinearity in the Brazilian stock market
title_sort Testing for unit root bilinearity in the Brazilian stock market
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
author_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv Bilinear unit root
GARCH
Equity prices
Emerging markets
Market efficiency
topic Bilinear unit root
GARCH
Equity prices
Emerging markets
Market efficiency
dc.description.abstract.por.fl_txt_mv In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of nonlinear unit roots in Brazilian equity shares. The empirical evidence for a set of 53 individual stocks, after adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore, the dynamics of Brazilian share prices is in conformity with this type of nonlinearity. These nonlinearities in spot prices may emerge due to the sophistication of the derivatives market.
dc.description.status.pt_BR.fl_txt_mv Publicado
description In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of nonlinear unit roots in Brazilian equity shares. The empirical evidence for a set of 53 individual stocks, after adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore, the dynamics of Brazilian share prices is in conformity with this type of nonlinearity. These nonlinearities in spot prices may emerge due to the sophistication of the derivatives market.
publishDate 2007
dc.date.issued.fl_str_mv 2007
dc.date.accessioned.fl_str_mv 2016-10-10T03:52:00Z
dc.date.available.fl_str_mv 2016-10-10T03:52:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv TABAK, Benjamin Miranda. Testing for unit root bilinearity in the Brazilian stock market. Physica. A , v. 385, p. 261-269, 2007.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/361
https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
identifier_str_mv TABAK, Benjamin Miranda. Testing for unit root bilinearity in the Brazilian stock market. Physica. A , v. 385, p. 261-269, 2007.
url http://twingo.ucb.br:8080/jspui/handle/10869/361
https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv Texto
dc.source.none.fl_str_mv reponame:Repositório Institucional da UCB
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