Please use this identifier to cite or link to this item: http://repository.umac.mo/handle/10692/2004
Title: Study on Non-random and Chaotic Behavior of Chinese Equities Markets
Authors: Chu, Patrick Kuok-Kun
Issue Date: 1-Jun-2003
Citation: Review of Pacific Basin Financial Markets and Policies. Vol. No. 6(2). pp. 199-222. (06/2003).
Abstract: After the stock market crash of October 19, 1987, interest in nonlinear dynamics andchaotic dynamics have increased in the eld of nancial analysis. The extent thatthe daily return data from the Shanghai Stock Exchange Index and the ShenzhenStock Exchange Index exhibit non-random, nonlinear and chaotic characteristicsare investigated by employing various tests from chaos theory. The Hurst exponentin R/S analysis rejects the hypothesis that the index return series are random,independent and identically distributed. The BDS test provides evidence for non-linearity. The estimated correlation dimensions provide evidence for deterministicchaotic behaviors.
URI: http://hdl.handle.net/10692/2004
ISSN: 0219-0915
Keywords: Chaos theory
rescaled range analysis
Hurst exponent
BDS test
corre- lation dimension estimation
Shenzhen Stock Exchange
Shanghai Stock Exchange.
Access: http://dx.doi.org/10.1142/S0219091503001055
Appears in Collections:AIM Journal Articles

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