Nonlinear dynamics in multinational financial data Available to Purchase

We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important implications for financial analysts. The results provide evidence of nonlinear structure in stock returns, in the three markets, suggesting that linear models, such as Ordinary Least Squares or Vector Autoregressive (VAR), may not always be appropriate for analyzing data.