This study utilizes the windowed-test procedure of Hinich and Patterson (1995) to examine the data generating process of KLSE CI returns series. Unlike previous studies, the present one relates the evidence to the popular weak-form EMH and behavioural finance, with the hope of offering some...

With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich...

With abounding evidence of non-linearity in financial markets of developed countries, this study attempts to narrow the gap in the literature of ASEAN countries, with a focus on the foreign exchange and stock markets. The outcomes of our econometric investigation using the Hinich bispectrum test...

With plentiful of evidence supporting the presence of non-linearity in stock returns series, coupled with theoretical and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data generating process is non-linear in nature, this study...