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Chaotic behavior in national stock market indices: New evidence from the close returns test

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  • McKenzie, Michael D.
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 12 (2001)
    Issue (Month): 1 ()
    Pages: 35-53

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    Handle: RePEc:eee:glofin:v:12:y:2001:i:1:p:35-53

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. Serletis, A. & Gogas, P., 1997. "Chaos in East European Black-Market Exchange Rates," Papers, Calgary - Department of Economics 9708, Calgary - Department of Economics.
    2. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 339-68, July.
    3. Claire G. Gilmore, 1996. "Detecting Linear and Nonlinear Dependence in Stock Returns: New Methods Derived from Chaos Theory," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 23(9-10), pages 1357-1377, December.
    4. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, Elsevier, vol. 40(1), pages 168-195, October.
    5. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1839-77, December.
    6. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 22(1), pages 71-90, July.
    7. John Barkoulas & Nickolaos Travlos, 1998. "Chaos in an emerging capital market? The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 231-243.
    8. Gilmore, Claire G., 1993. "A new test for chaos," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 22(2), pages 209-237, October.
    9. LeBaron Blake, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 2(2), pages 1-9, July.
    10. Willey, Thomas, 1992. "Testing for nonlinear dependence in daily stock indices," Journal of Economics and Business, Elsevier, Elsevier, vol. 44(1), pages 63-76, February.
    11. Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, Elsevier, vol. 12(1), pages 139-151.
    12. Nowrouz Kohzadi & Milton S. Boyd, 1995. "Testing for Chaos and Nonlinear Dynamics in Cattle Prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 43(3), pages 475-484, November.
    13. Victor Chwee, 1998. "Chaos in Natural Gas Futures?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 2), pages 149-164.
    14. repec:att:wimass:9101 is not listed on IDEAS
    15. de Lima, Pedro J F, 1998. "Nonlinearities and Nonstationarities in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(2), pages 227-36, April.
    16. Brock, William A & Baek, Ehung G, 1991. "Some Theory of Statistical Inference for Nonlinear Science," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(4), pages 697-716, July.
    17. Frank, Murray Z & Stengos, Thanasis, 1988. " Chaotic Dynamics in Economic Time-Series," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 2(2), pages 103-33.
    18. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 311-37, July.
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    Cited by:
    1. Oleksandr Piskun & Sergii Piskun, 2011. "Recurrence Quantification Analysis of Financial Market Crashes and Crises," Papers, arXiv.org 1107.5420, arXiv.org.
    2. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    3. Faggini, Marisa, 2010. "Chaos detection in economics. Metric versus topological tools," MPRA Paper 30928, University Library of Munich, Germany.
    4. Madhavan, Vinodh, 2013. "Nonlinearity in investment grade Credit Default Swap (CDS) Indices of US and Europe: Evidence from BDS and close-returns tests," Global Finance Journal, Elsevier, Elsevier, vol. 24(3), pages 266-279.

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