Threshold Stock Price Adjustments

  • Mohamed El Hedi Arouri
  • Fredj Jawadi
  • Duc Khuong Nguyen
Part of the Contributions to Management Science book series (MANAGEMENT SC.)


This chapter focuses on the study of the stock price adjustment dynamics in emerging countries using recent developments of nonlinear and threshold models. The nonlinearity is employed to reproduce the asymmetry and discontinuity characterizing emerging market price dynamics. This asymmetry is naturally justified by the important changes and developments occurring recently on these markets as discussed in Chaps. 1 and 2.

Empirical results show that emerging stock price adjustment dynamics are neither instantaneous nor continuous and linear, but rather asymmetric and nonlinear. Moreover, the use of an on/off adjustment model enables the reproduction of the price dynamics in emerging stock markets while identifying several different regimes. The analysis of emerging markets’ responses to oil price changes also supports the hypothesis of nonlinear and threshold price adjustments.


Stock Market Stock Price Stock Prex Price Dynamic Price Adjustment 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Mohamed El Hedi Arouri
    • 1
  • Fredj Jawadi
    • 2
  • Duc Khuong Nguyen
    • 3
  1. 1.Faculty of Law, Economics, and ManagementUniversity of OrleansOrléansFrance
  2. 2.Amiens School of ManagementAmiensFrance
  3. 3.ISC Paris School of ManagementParisFrance

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