Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies
Author(s): Graham Newell, Maurice Peat & Max Stevenson
Date of publication: May 1997
Working paper number: 73
In this paper we have tested for evidence of nonlinear structure in United Kingdom asset returns including those of real estate and investment trusts, stock market indices and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear deterministic (chaotic) structure against a random alternative, others have power against nonlinear stochastic structure. If nonlinear deterministic and random walk models are not appropriate to explain asset returns behaviour, then stochastic nonlinearity seems like a logical alternative. The results from our study lead us to that conclusion.
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