Nonlinearities in central and eastern European stock markets

摘要

In this article we use nonlinear tests to investigate the mean reverting properties of stock prices in a group of Central and East European (CEE) markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross-sectional dependence. Our results indicate that ignoring the nonlinearity in the stock prices of CEE countries could result in misleading inferences.