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Nonlinear Noise Estimation in International Capital Markets

Author

Listed:
  • Costas Siriopoulos

    (University of Macedonia, Greece)

  • Alexandros Leontitsis

    (University of Kent at Canterbury, U.K.)

Abstract

We analyzed six stock exchange markets through the nonlinear dynamics concept. We used daily data from the Toronto Stock Exchange, NYSE, London Stock Exchange, Hong Kong Stock Market, Tokyo Stock Exchange, and the Singapore Stock Exchange. The period studied is from January 1, 1988 to June 30, 1999. We performed Local Principal Components Analysis in order to estimate the dimension of each underlying attractor. Our main interest is the noise level estimation of each time series. The results indicate weak determinism and strong noise influence. The noise-to-signal ratio for almost all time series is above 50%. Noise is leptokurtic in the eastern stock markets, and mesokurtic in western ones.

Suggested Citation

  • Costas Siriopoulos & Alexandros Leontitsis, 2002. "Nonlinear Noise Estimation in International Capital Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 43-63, March.
    • Handle: RePEc:mfj:journl:v:6:y:2002:i:1:p:43-63
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    References listed on IDEAS

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    More about this item

    Keywords

    chaos theory; local principal components analysis; noise estimation; nonlinear dynamics;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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