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- W97002731 abstract "This chapter focuses on the study of the stock price adjustment dynamics in emerging countries using recent developments of nonlinear and threshold models. The nonlinearity is employed to reproduce the asymmetry and discontinuity characterizing emerging market price dynamics. This asymmetry is naturally justified by the important changes and developments occurring recently on these markets as discussed in Chaps. 1 and 2. Empirical results show that emerging stock price adjustment dynamics are neither instantaneous nor continuous and linear, but rather asymmetric and nonlinear. Moreover, the use of an on/off adjustment model enables the reproduction of the price dynamics in emerging stock markets while identifying several different regimes. The analysis of emerging markets’ responses to oil price changes also supports the hypothesis of nonlinear and threshold price adjustments." @default.
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- W97002731 date "2009-11-03" @default.
- W97002731 modified "2023-09-23" @default.
- W97002731 title "Threshold Stock Price Adjustments" @default.
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- W97002731 doi "https://doi.org/10.1007/978-3-7908-2389-9_4" @default.
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