This study found strong evidence for the presence of non-linearity in all the ASEAN-5 exchange rates and stock returns series based on the Hinich bispectrum test (Hinich, 1982) and Lukkonen-Saikkonen-Teräsvirta linearity test (Luukkonen et al., 1988).

As such, it is argued that before any further empirical analysis, preliminary tests should be conducted to examine the linearity nature of the time series of ASEAN-5 financial markets variables, as it is no more appropriate to take linear assumption for granted.

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