Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

被引：20
|
作者：
Qian, Xi-Yuan [2 ,3 ]
Song, Fu-Tie [1 ,3 ]
Zhou, Wei-Xing [1 ,3 ,4 ]
机构：
[1] E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China
[2] E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China
[3] E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China
[4] E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 2-3期
关键词：
threshold autoregressive (TAR) model; unit root; Chinese stock market; regime change; crashes;
D O I：
10.1016/j.physa.2007.09.029
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonstationarity and nonlinearity in time series that has regime switching. Our finding indicates that the Shanghai stock market exhibits nonlinear behaviour with two regimes and has unit roots in both regimes. The important implications of the threshold effect in stock markets are also discussed. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：503 / 510
页数：8
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