Use este identificador para citar ou linkar para este item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
Tipo: Artigo
Título: Testing for unit root bilinearity in the Brazilian stock market
Autor(es): 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.
Palavras-chave: Bilinear unit root
GARCH
Equity prices
Emerging markets
Market efficiency
Citação: TABAK, Benjamin Miranda. Testing for unit root bilinearity in the Brazilian stock market. Physica. A , v. 385, p. 261-269, 2007.
Tipo de Acesso: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/361
https://repositorio.ucb.br:9443/jspui/handle/123456789/7593
Data do documento: 2007
Aparece nas coleções:PPG - Revistas e Artigos Científicos

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