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|Title:||Study on Non-random and Chaotic Behavior of Chinese Equities Markets|
|Authors:||Chu, Patrick Kuok-Kun|
|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.|
rescaled range analysis
corre- lation dimension estimation
Shenzhen Stock Exchange
Shanghai Stock Exchange.
|Access:||View full-text via DOI|
|Appears in Collections:||AIM Journal Articles|
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