Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
Type: Artigo
Title: Testing for unit root bilinearity in the Brazilian stock market
Authors: Tabak, Benjamin Miranda
Abstract: 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.
Keywords: Bilinear unit root
GARCH
Equity prices
Emerging markets
Market efficiency
Citation: TABAK, Benjamin Miranda. Testing for unit root bilinearity in the Brazilian stock market. Physica. A , v. 385, p. 261-269, 2007.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/361
https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
Document date: 2007
Appears in Collections:PPG - Revistas e Artigos Científicos

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