Non-Linear Predictability of Short-Run Deviations in UK Stock Market Returns

David Gordon McMillan

    Research output: Contribution to journalArticlepeer-review

    23 Citations (Scopus)

    Abstract

    Using an exponential smooth transition threshold (ESTR) error-correction model, we examine whether return dynamics in a price dividend cointegration framework differ between large and small deviations. Results support the ESTR model over a linear alternative and suggest persistent deviations from equilibrium when deviations are large. (C) 2003 Published by Elsevier B.V.

    Original languageEnglish
    Pages (from-to)149-154
    Number of pages6
    JournalEconomics Letters
    Volume84
    Issue number2
    DOIs
    Publication statusPublished - Aug 2004

    Keywords

    • stock market returns
    • exponential smooth transition threshold model
    • error-correction
    • MOMENTUM STRATEGIES
    • NOISE
    • MODELS

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