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Using the correlation dimension to detect non-linear dynamics: Evidence from the Athens Stock Exchange

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Author Info

  • David Chappell

    (Sheffield University)

  • Theodore Panagiotidis

    (Loughborough University)

Abstract

The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is iid.

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File URL: http://128.118.178.162/eps/em/papers/0504/0504005.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0504005.

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Length: 11 pages
Date of creation: 15 Apr 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0504005

Note: Type of Document - pdf; pages: 11
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Web page: http://128.118.178.162

Related research

Keywords: Non-linear Dynamics; Stock Indices; Chaos; Correlation Dimension;

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References

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  1. Theodore Panagiotidis, 2010. "Market efficiency and the Euro: the case of the Athens stock exchange," Empirica, Springer, vol. 37(3), pages 237-251, July.
  2. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA.
  3. Gregorios Siourounis, 2002. "Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 47-55.
  4. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 20 Sep 1996.
  5. John Barkoulas & Nickolaos Travlos, 1998. "Chaos in an emerging capital market? The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 231-243.
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Citations

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Cited by:
  1. Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
  2. Theodore Panagiotidis, 2010. "An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application," Working Paper Series 20_10, The Rimini Centre for Economic Analysis.
  3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.

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