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Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Author

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  • Claudiu Tiberiu Albulescu

    (Management Department, Research Center in Engineering and Management, Politehnica University of Timisoara, 300006 Timisoara, Romania)

  • Aviral Kumar Tiwari

    (Rajagiri Business School, Kochi 682039, India
    South Ural State University, Lenin Prospect 76, 454080 Chelyabinsk, Russia)

  • Phouphet Kyophilavong

    (Faculty of Economics and Business Management, National University of Laos, Vientiane 7322, Laos)

Abstract

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

Suggested Citation

  • Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Phouphet Kyophilavong, 2021. "Nonlinearities and Chaos: A New Analysis of CEE Stock Markets," Mathematics, MDPI, vol. 9(7), pages 1-13, March.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:7:p:707-:d:523814
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