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

David Gordon McMillan

doi:10.1016/j.econlet.2003.10.014

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

David Gordon McMillan

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	149-154
Number of pages	6
Journal	Economics Letters
Volume	84
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2003.10.014
Publication status	Published - Aug 2004

Keywords

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

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10.1016/j.econlet.2003.10.014

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title = "Non-Linear Predictability of Short-Run Deviations in UK Stock Market Returns",

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.",

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AB - 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.

KW - stock market returns

KW - exponential smooth transition threshold model

KW - error-correction

KW - MOMENTUM STRATEGIES

KW - NOISE

KW - MODELS

U2 - 10.1016/j.econlet.2003.10.014

DO - 10.1016/j.econlet.2003.10.014

M3 - Article

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VL - 84

SP - 149

EP - 154

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

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

Abstract

Keywords

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