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Chaos in an emerging capital market? The case of the Athens Stock Exchange

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  • John Barkoulas
  • Nickolaos Travlos

Abstract

This 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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  • 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.
  • Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:231-243
    DOI: 10.1080/096031098332998
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    1. Kamstra, M., 1991. "A Neural Network Test for Heteroskedasticity," Discussion Papers dp91-06, Department of Economics, Simon Fraser University.
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