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Study on the Non-Random and Chaotic Behavior of Chinese Equities Market
Chu, Patrick Kuok Kun
2003
Source PublicationReview of Pacific Basin Financial Markets and Policies
ISSN0219-0915
Volume6Issue: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.

KeywordShanghai Stock Exchange Chaos Theory Rescaled Range Analysis Hurst Exponent Bds Test Correlation Dimension Estimation Shenzhen Stock Exchange
DOI10.1142/S0219091503001055
Language英語English
Scopus ID2-s2.0-0142228702
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
AffiliationDepartment of Accounting and Information Management, Faculty of Business Administration, University of Macau
First Author AffilicationFaculty 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.
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