Sectoral impact of shocks: Empirical evidence from the Malaysian stock market

Applied Financial Economics Letters

Volumn 4, Issue 1, 2008, Pages 35-39

  Lim, Kian Ping ^a  

^a UNIVERSITI MALAYSIA SABAH   (Malaysia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38749116966     PISSN: 17446546     EISSN: 17446554     Source Type: Journal    
DOI: 10.1080/17446540701367436     Document Type: Article

References (6)

1. Brooks, C., Hinich, M. J. and Molyneux, R. (2000) Episodic nonlinear event detection: political epochs in exchange rates, in Political Complexity: Political Epochs in Exchange Rates (Ed.) D. Richards, Michigan University Press, Ann Arbor, MI, pp. 83-98.
2. Hinich, M. J. (1996) Testing for dependence in the input to a linear time series model, Journal of Nonparametric Statistics, 6, 205-21.
3. Hinich, M. J. and Patterson, D. M. (1995) Detecting Epochs of Transient Dependence in White Noise. mimeo, University of Texas at Austin.
4. Hinich, M. J. and Patterson, D. M. (2005) Detecting epochs of transient dependence in white noise, in Money, Measurement and Computation (Eds) M. T. Belongia and J. M. Binner, Palgrave Macmillan, London, pp. 61-75.
5. Lim, K. P. and Hinich, M. J. (2005) Non-linear market behavior: events detection in the Malaysian stock market, Economics Bulletin, 7, 1-5.
6. Lim, K. P., Hinich, M. J. and Brooks, R. D. (2006) Events that shook the market: an insight from nonlinear serial dependencies in intraday returns. SSRN Working Paper (Available online http://ssrn.com/abstract=912603).