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LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION

Authors :
Tsoukalas Dimitrios
Source :
Global Business and Finance Review, Vol 9, Iss 2, Pp 53-65 (2004)
Publication Year :
2004
Publisher :
People & Global Business Association (P&GBA), 2004.

Abstract

The analysis o f this study is twofold: 1) Using A non-linear test (the Hinich test), it provides evidence of non-linear dynamics in stock prices in the American market from January 1955 to December 2002. 2) Utilizing non-linear regression models, the Multiple Adaptive Regression Splines (MARS) and fl-Splines, the study examines the relationship between stock prices and their fundamentals. Non-linear results are compared with linear. The predictive ability ofthe non-linear models outperforms the linear. As a result, the study suggests that non-linear models should be consideredfor the analysis ofstock prices.

Details

Language :
English
ISSN :
23841648 and 10886931
Volume :
9
Issue :
2
Database :
OpenAIRE
Journal :
Global Business and Finance Review
Accession number :
edsair.doajarticles..3bfa212634c980cb1c6a03d1e432f3d6