Evidence on the Existence and Pervasiveness of Nonlinear Serial Dependencies on the Taiwan Stock Exchange

The goal of this chapter is to examine whether the time series of returns of securities listed on Taiwan’s stock exchange exhibit significant nonlinear serial dependencies, as do those of other stock exchanges throughout the world, and, if so, to examine the pervasiveness of such dependencies across the individual stocks trading on the Taiwan Stock Exchange. First, an examination of the characteristics of the Taiwan Stock Exchange Stock Index will be undertaken to provide a general answer to the question of whether nonlinear serial dependencies exist among the returns on the Taiwan Stock Exchange. Next, each of the stocks trading on the Taiwan Stock Exchange will be examined individually to determine how widespread or pervasive such nonlinear serial dependencies are cross-sectionally.