Chaos in G7 stock markets using over one century of data: A note (Reprinted from Research in International Business and Finance vol 47, pg 304-310, 2019)

被引：1

作者：

Tiwari, Aviral Kumar ^{[1
,2
]}

Gupta, Rangan ^{[3
]}

机构：

[1] Rajagiri Business Sch, Rajagiri Valley Campus, Kochi, Kerala, India

[2] Montpellier Business Sch, CESD, Montpellier, France

[3] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2019年 / 49卷

关键词：

Chaos; G7; countries; Stock returns; LYAPUNOV EXPONENTS;

D O I：

10.1016/j.ribaf.2019.05.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In our study, we tested for chaos in the historical daily and monthly datasets spanning over one century of stock returns for G7 countries. Applying the 0-1 test proposed by Gottwald and Melbourne (2005) and the recent test developed by BenSaida and Litimi (2013), which is powerful in detecting chaotic dynamics, we found that (a) it is better to denoise the data before testing for chaos and (b), in general, chaos is observed for all countries, using both tests, when we denoised the data.

引用

页码：315 / 321

页数：7