Chaos in an emerging capital market? The case of the Athens Stock Exchange
AbstractThis paper investigates the existence of a deterministic nonlinear structure in the stock returns of the Athens Stock Exchange (Greece), an emerging capital market. The analysis utilizes the concepts of correlation dimension and Kolmogorov entropy, and it also includes a forecasting experiment. Application of the BDS statistical test to raw and filtered returns series suggests the presence of nonlinearities. The findings provide very weak, at best, evidence in support of a nonlinear deterministic data generating process.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 8 (1998)
Issue (Month): 3 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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