文章基本信息

标题：Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka
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作者：Siow-hooi Tan ; Muzafar-shah Habibullah ; Roy-wye-leong Khong 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2010
卷号：30
期号：1
页码：274-281
出版社：Economics Bulletin
摘要：This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly, a partial unit root was found to be present in one of the regimes indicating that the stock prices are weak form efficiency, but not all the time