Non‐linear Predictability of UK Stock Market Returns*

By D. McMillan. 2003

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9af50a6f46f396e5e92f48497308753f2ff24989

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Citations in the corpus

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis (2018, background): “…behaviour resulting from the co-existence of heterogeneous investors, the presence of transaction costs, as well as the existence of friction in the stock market (Chang & Liu, 2010; McMillan, 2003), such that the size of the deviation from the deterministic trend influences stock price dynamics.”
An Adaptive Network-Based Fuzzy Inference System (ANFIS) for the prediction of stock market return: The case of the Istanbul Stock Exchange (2010, methodology): “In this study, we select six macroeconomic variables as feature subsets by the review of domain experts and prior researches (Chen, Leung, & Daouk, 2003; Huang, Nakamori, & Wang, 2005; Karaatli et al., 2005; Leung, Daouk, & Chen, 2000; McMillan, 2003).”
Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model (2015, background): “Some scholars also apply regression models to study how investor sentiment impacts stock price byusing aggregate or industrial-level data in some countries, such as Schmeling (2009), McMillan (2003), Ding et al. (2004), Zhang and Semmler (2009), Lee and Chiu (2012) and Chen (2013), etc.”
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016, methodology): “Following the literature, the first form of transition function we consider is the logistic function which is shown in equation (12) (see also, Chang and Tong, 1986; Teräsvirta and Anderson, 1992; Teräsvirta, 1994; McMillan, 2003).”
Financial development, globalization and ecological footprint in G7: further evidence from threshold cointegration and fractional frequency causality tests (2020, background): “…several reasons for the presence of nonlinearity such as exceptionally large exogenous shocks (Teräsvirta 1995), the existence of transaction costs (McMillan 2003), and market imperfections (Lim and Hinich 2005); and ignoring the nonlinear effect could cause conclusions similar to those caused by…”