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Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa

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  • Cheteni, Priviledge

Abstract

Since the global financial crisis that crippled the world’s financial markets in 2007, interest in nonlinear dynamics in form of deterministic chaos has increased. Hence, the main purpose of this study was to detect if whether stock returns exhibit nonlinear and chaotic tendencies. By using recent statistical tools to overcome some of the limitations faced in financial data. The study made use of the powerful BDS test, LM test and Variance Ratio Test. The empirical results suggest that the ALBI index exhibit nonlinear tendencies and chaotic behaviour.

Suggested Citation

  • Cheteni, Priviledge, 2013. "Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa," MPRA Paper 56369, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:56369
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    File URL: https://mpra.ub.uni-muenchen.de/56369/1/MPRA_paper_56369.pdf
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    References listed on IDEAS

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    Cited by:

    1. Priviledge Cheteni, 2017. "Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets," Journal of Economics and Behavioral Studies, AMH International, vol. 8(6), pages 237-245.

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    More about this item

    Keywords

    Non-Linear; JSE; ALBI index; BDS; South Africa;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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