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Non-linear dependence in the Malaysian stock market


Citation

Lim, Kian Ping and Habibullah, Muzafar Shah and Lee, Hock Ann (2005) Non-linear dependence in the Malaysian stock market. Pertanika Journal of Social Sciences & Humanities, 13 (1). pp. 23-38. ISSN 0128-7702; ESSN: 2231-8534

Abstract / Synopsis

This study empirically investigates the presence of non-linearity in the Malaysian stock market, employing the Brock-Dechert-Scheinkman (BDS) and Hinich bispectrum tests. The BDS results reveal that the characteristics of the returns series in the Malaysian stock market are driven by non-linear mechanisms. Subsequent application of the Hinich bispectrum test confirms the results of the BDS test. The result of the present study has strong implications on the empirical work involving the Malaysian stock market as the existence of non-linearity suggests the inappropriateness of using linear methods for drawing inferences.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Universiti Putra Malaysia Press
Keywords: Non-linearity; BDS test; Hinich bispectrum test; Stock market; Malaysia
Depositing User: Nur Izyan Mohd Zaki
Date Deposited: 30 Nov 2009 08:33
Last Modified: 14 Sep 2015 11:42
URI: http://psasir.upm.edu.my/id/eprint/3499
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