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Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos
[Evidence Of Chaotic Behavior In American Stock Markets]

  • Espinosa Méndez, Christian

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of different techniques and methods like: Graphic Analysis, Recurrence Analysis, Temporal Space Entropy, Hurst Coefficient, Lyapunov Exponential and Correlation Dimension support the hypothesis that the stock markets behave in a chaotic way and rejected the hypothesis of randomness. Our conclusion validates the use of prediction techniques in those stock markets. It’s remarkable the result of the Hurst Coefficient Technique, that in average was of 0,75 for the indexes of this study which would justify the use of ARFIMA models among others for the prediction of such series.

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File URL: http://mpra.ub.uni-muenchen.de/2794/1/MPRA_paper_2794.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2794.

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Date of creation: 20 Oct 2005
Date of revision: 30 Jun 2006
Handle: RePEc:pra:mprapa:2794
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  1. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
  2. Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82.
  3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  4. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  6. Cornelis A. Los, 2004. "Visualization of Chaos for Finance Majors," Finance 0409035, EconWPA.
  7. Conrad, Jennifer & Kaul, Gautam, 1989. "Mean Reversion in Short-Horizon Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 225-40.
  8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  9. Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, EconWPA.
  10. repec:att:wimass:9520 is not listed on IDEAS
  11. Gilmore, Claire G., 1993. "A new test for chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 209-237, October.
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