English, Article edition: TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA SAMIR SAADI; DEVINDER GANDHI; SHANTANU DUTTA

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Bookmark: http://trove.nla.gov.au/version/83003
Physical Description
  • article
Language
  • English

Edition details

Title
  • TESTING FOR NONLINEARITY &​ MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
Author
  • SAMIR SAADI
  • DEVINDER GANDHI
  • SHANTANU DUTTA
Physical Description
  • article
Notes
  • Capital market efficiency of emerging markets has been investigated widely in recent years. But to-date the empirical results remain inconclusive because most empirical studies use empirical tests, which are designed to detect linear structure in financial time series. However, recent developments in econometrics of financial markets show evidence of nonlinear relationships in asset returns in developed markets. Given the features of emerging capital markets, nonlinearity is most likely to be even more present in these developing markets compared to developed ones. In the present paper we reject the weak-form efficient market hypothesis of the Tunisian Stock Market (TSE). Using the BDS test, we find evidence of nonlinearity in variance, and develop a FIEGARCH (1, 1) model accordingly.
  • Random walk, BDS test, nonlinear dynamics, conditional volatility
  • RePEc:wsi:ijtafx:v:09:y:2006:i:07:p:1021-1050
Language
  • English
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