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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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
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spelling doaj-5666cd02e50a4d0488e34ff613199a282021-02-17T06:16:13ZengPeople & Global Business Association (P&GBA)Global Business and Finance Review 1088-69312384-16482004-03-01925365LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATIONTsoukalas Dimitrios0Purdue University CalumetThe 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.http://www.gbfrjournal.org/pds/journal/thesis/20150624134814-5IRPQ.pdflinear predictabilitynon-linear predictabilityequity priceinvestigation
collection DOAJ
language English
format Article
sources DOAJ
author Tsoukalas Dimitrios
spellingShingle Tsoukalas Dimitrios
LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
Global Business and Finance Review
linear predictability
non-linear predictability
equity price
investigation
author_facet Tsoukalas Dimitrios
author_sort Tsoukalas Dimitrios
title LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
title_short LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
title_full LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
title_fullStr LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
title_full_unstemmed LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
title_sort linear versus non-linear predictability of equity prices: an empirical investigation
publisher People & Global Business Association (P&GBA)
series Global Business and Finance Review
issn 1088-6931
2384-1648
publishDate 2004-03-01
description 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.
topic linear predictability
non-linear predictability
equity price
investigation
url http://www.gbfrjournal.org/pds/journal/thesis/20150624134814-5IRPQ.pdf
work_keys_str_mv AT tsoukalasdimitrios linearversusnonlinearpredictabilityofequitypricesanempiricalinvestigation
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