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We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC)index for the period from 1990:12 to 2007:06 using an unconstrained two-regimethreshold autoregressive (TAR) model with an unit root developed by Caner andHansen. The method allows us to simultaneously consider non-stationarity andnonlinearity in financial time series. Our finding indicates that the Shanghaistock market exhibits nonlinear behavior with two regimes and has unit roots inboth regimes. The important implications of the threshold effect in stockmarkets are also discussed.

Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests