Non-Linearity of Returns in the Listed ADRs

20 Pages Posted: 18 Jan 2010

See all articles by Ranajee Jee

Ranajee Jee

Institute of Chartered Financial Analysts of India (ICFAI) - The Icfai University (IFHE), Hyderabad

Kaushik Bhattacharjee

Institute of Chartered Financial Analysts of India (ICFAI) - The Icfai Institute for Management Teachers (IIMT)

Date Written: January 14, 2010

Abstract

Traditionally Linear models dominate the finance literature. The models assume that time series of stock returns (daily, monthly etc.) follow a liner process and can be well approximated by the use of linear models. But this assumption has its own limitations as recent researches indicate that stock returns do not follow linearity at a regular basis. Massive work has been done in reporting the nonlinearity in stock returns across different markets and economies which shows that empirically nonlinearity can be established. In the present study we have analyzed a sample of Indian ADR’s for possible existence of nonlinearity in ADRs listed in American exchanges as it provides practical implications to the investors and policy makers.

Suggested Citation

Jee, Ranajee and Bhattacharjee, Kaushik, Non-Linearity of Returns in the Listed ADRs (January 14, 2010). Available at SSRN: https://ssrn.com/abstract=1536953 or http://dx.doi.org/10.2139/ssrn.1536953

Ranajee Jee (Contact Author)

Institute of Chartered Financial Analysts of India (ICFAI) - The Icfai University (IFHE), Hyderabad ( email )

Donthanapally Shankarapalli Road
RAJAWALA ROAD
Hyderabad, RI Andhra Pradesh 501203
India

Kaushik Bhattacharjee

Institute of Chartered Financial Analysts of India (ICFAI) - The Icfai Institute for Management Teachers (IIMT) ( email )

3rd Floor, Astral Heights
Road No. 1, Banjara Hills
Hyderabad, 500 034
India

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