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

  • McKenzie, Michael D.
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-438BV6N-2/2/b7f1ea9fd978509df70fd18a4db66886
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    1. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May.
    2. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July.
    3. Serletis, Apostolos & Gogas, Periklis, 1997. "Chaos in East European black market exchange rates," Research in Economics, Elsevier, vol. 51(4), pages 359-385, December.
    4. Willey, Thomas, 1992. "Testing for nonlinear dependence in daily stock indices," Journal of Economics and Business, Elsevier, vol. 44(1), pages 63-76, February.
    5. LeBaron Blake, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-9, July.
    6. 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, vol. 23(9-10), pages 1357-1377, December.
    7. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
    8. Frank, Murray Z & Stengos, Thanasis, 1988. " Chaotic Dynamics in Economic Time-Series," Journal of Economic Surveys, Wiley Blackwell, vol. 2(2), pages 103-33.
    9. Victor Chwee, 1998. "Chaos in Natural Gas Futures?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 149-164.
    10. 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, vol. 43(3), pages 475-484, November.
    11. 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.
    12. de Lima, Pedro J F, 1998. "Nonlinearities and Nonstationarities in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 227-36, April.
    13. Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, vol. 12(1), pages 139-151.
    14. repec:att:wimass:9101 is not listed on IDEAS
    15. Brock, William A & Baek, Ehung G, 1991. "Some Theory of Statistical Inference for Nonlinear Science," Review of Economic Studies, Wiley Blackwell, vol. 58(4), pages 697-716, July.
    16. Abhyankar, A & Copeland, L S & Wong, W, 1995. "Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom," Economic Journal, Royal Economic Society, vol. 105(431), pages 864-80, July.
    17. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October.
    18. Gilmore, Claire G., 1993. "A new test for chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 209-237, October.
    19. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December.
    20. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July.
    21. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
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