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英文文献：London Calling: Nonlinear Mean Reversion across National Stock Markets-伦敦呼叫:全国股市的非线性均值回归
英文文献作者：Hyeongwoo Kim,Jintae Kim
英文文献摘要：
This paper revisits empirical evidence of mean reversion of relative stock prices in international stock markets. We implement a strand of univariate and panel unit root tests for linear and nonlinear models of 18 national stock indices during the period 1969 to 2012. Our major findings are as follows. First, we find little evidence of linear mean reversion irrespective of the choice of a reference country. Employing panel tests yields the same conclusion once the cross-section dependence is controlled. Second, we find strong evidence of nonlinear mean reversion when the UK serves as a reference country, calling attention to the stock index in the UK. Choosing the US as a reference yields very weak evidence of nonlinear stationarity. Third, via extensive Monte Carlo simulations, we demonstrate a potential pitfall in using panel unit root tests with cross-section dependence when a stationary common factor dominates nonstationary idiosyncratic components in small samples.
本文对国际股票市场相对股价均值回归的经验证据进行了修正。我们对1969 - 2012年间18个国家股票指数的线性和非线性模型进行了单变量和面板单位根检验。我们的主要研究结果如下。首先，我们发现几乎没有证据表明线性均值回归，无论选择的参考国家。一旦控制了横截面的依赖关系，采用面板测试可以得出同样的结论。其次，我们在英国作为参照国时发现了非线性均值回归的有力证据，这引起了人们对英国股指的关注。选择美国作为参考，得出的非线性平稳性证据非常微弱。第三，通过广泛的蒙特卡洛模拟，我们证明了在小样本中使用具有横截面依赖的面板单位根检验时，当一个平稳公因子支配非平稳特性成分时，可能存在的缺陷。
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