Residential College | false |
Status | 已發表Published |
Study on the Non-Random and Chaotic Behavior of Chinese Equities Market | |
Chu, Patrick Kuok Kun | |
2003 | |
Source Publication | Review of Pacific Basin Financial Markets and Policies |
ISSN | 0219-0915 |
Volume | 6Issue:2Pages:199-222 |
Abstract | After the stock market crash of October 19, 1987, interest in nonlinear dynamics and chaotic dynamics have increased in the field of financial analysis. The extent that the daily return data from the Shanghai Stock Exchange Index and the Shenzhen Stock Exchange Index exhibit non-random, nonlinear and chaotic characteristics are investigated by employing various tests from chaos theory. The Hurst exponent in R/S analysis rejects the hypothesis that the index return series are random, independent and identically distributed. The BDS test provides evidence for nonlinearity. The estimated correlation dimensions provide evidence for deterministic chaotic behaviors. |
Keyword | Shanghai Stock Exchange Chaos Theory Rescaled Range Analysis Hurst Exponent Bds Test Correlation Dimension Estimation Shenzhen Stock Exchange |
DOI | 10.1142/S0219091503001055 |
Language | 英語English |
Scopus ID | 2-s2.0-0142228702 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Business Administration DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT |
Affiliation | Department of Accounting and Information Management, Faculty of Business Administration, University of Macau |
First Author Affilication | Faculty of Business Administration |
Recommended Citation GB/T 7714 | Chu, Patrick Kuok Kun. Study on the Non-Random and Chaotic Behavior of Chinese Equities Market[J]. Review of Pacific Basin Financial Markets and Policies, 2003, 6(2), 199-222. |
APA | Chu, Patrick Kuok Kun.(2003). Study on the Non-Random and Chaotic Behavior of Chinese Equities Market. Review of Pacific Basin Financial Markets and Policies, 6(2), 199-222. |
MLA | Chu, Patrick Kuok Kun."Study on the Non-Random and Chaotic Behavior of Chinese Equities Market".Review of Pacific Basin Financial Markets and Policies 6.2(2003):199-222. |
Files in This Item: | Download All | |||||
File Name/Size | Publications | Version | Access | License | ||
2003 RPBFPM Paper.pd(422KB) | 期刊论文 | 作者接受稿 | 开放获取 | CC BY-NC-SA | View Download |
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment