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

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

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...

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Bibliographic Details
Main Author: Tsoukalas Dimitrios
Format: Article
Language:English
Published: People & Global Business Association (P&GBA) 2004-03-01
Series:Global Business and Finance Review
Subjects:
linear predictability
non-linear predictability
equity price
investigation
Online Access:http://www.gbfrjournal.org/pds/journal/thesis/20150624134814-5IRPQ.pdf
Description
Summary: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.
ISSN:1088-6931
2384-1648

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