Testing for unit root bilinearity in the Brazilian stock market
Autor(a) principal: | |
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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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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 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
Texto |
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Universidade Católica de Brasília (UCB) |
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UCB |
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UCB |
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Repositório Institucional da UCB |
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Repositório Institucional da UCB |
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