Title of article :
Non-linear Dependence in the Malaysian Stock Market
Author/Authors :
LIM, KIAN-PING Universiti Malaysia Sabah - Labuan School of International Business and Finance, Malaysia , HABIBULLAH, MUZAFAR SHAH Universiti Putra Malaysia - Faculty of Economics and Management - Depanment of Economics, Malaysia , LEE, HOCK-ANN Universiti Malaysia Sabah - Labuan School of International Business and Finance, Malaysia
Abstract :
This study empirically investigates the presence of non-linearity in the Malaysian stock market,employing the Brock-Dechert-Scheinkrnan (BOS) and Hinich bispeetrum tests. The BOS resultsreveal 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 ofthe BOS test. The result of the present study has strong implications on the empirical workinvolving the Malaysian stock market as the existence of non-linearity suggests the inappropriatenessof using linear methods for drawing inferences.
Keywords :
Non , linearity , BDS test , Hinich bispectrum test , stock market , Malaysia
Journal title :
Pertanika Journal of Social Sciences and Humanities (JSSH)
Journal title :
Pertanika Journal of Social Sciences and Humanities (JSSH)
