This study searches for economic and political events that may explain the episodic nonlinearities detected in the returns series of the Chilean stock market index. This methodology is a reverse form of event study. After applying the Hinich portmanteau bicorrelation test to detect episodes of...

This letter applies the Hinich portmanteau bicorrelation test jointly with the windowed testing procedure to detect nonlinear behaviour in the rate of returns series for seven Latin American stock market indices. Our results suggest that the nonlinear serial dependencies are episodic in nature....