文献类型：期刊文献

英文题名：Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

作者：Qian, Xi-Yuan[2,3];Song, Fu-Tie[1,3];Zhou, Wei-Xing[1,3,4]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：2-3

起止页码：503

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20074810955729);WOS:【SSCI(收录号:WOS:000251896800016)，SCI-EXPANDED(收录号:WOS:000251896800016)】；

语种：英文

外文关键词：threshold autoregressive (TAR) model; unit root; Chinese stock market; regime change; crashes

摘要：We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonstationarity and nonlinearity in time series that has regime switching. Our finding indicates that the Shanghai stock market exhibits nonlinear behaviour with two regimes and has unit roots in both regimes. The important implications of the threshold effect in stock markets are also discussed. (C) 2007 Elsevier B.V. All rights reserved.