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Macau Periodical Index (澳門期刊論文索引)
- Author
- Chu, Patrick KK
- Title
- Study on chaos and nonliner dynamics in Chinese stock markets
- Journal Name
- Euro Asia Journal of Management
- Pub. Info
- Sep. 2001, No.22, pp. 5-28
- Abstract
- Abstract : After the stock market crash of October 19, 1987 ,interest in nonlinear dynamics and chaotic dynamics, have increased in the field of financial analysis. The extent that the daily return data from the Shanghai stock exchange index and the Shenzhen stock exchange index exhibit nonlinearity and chaotic characteristics are investigated by employing various tests from chaos theory. The visual inspection techniques reveal that the underlying structures in the returns data are different from those in the random data and the existence of strange attractors. The BDS test provides evidence for deterministic chaotic behaviors. Paragraph Headings: 1. Introduction 2. Conceptual framework 2.1. Introduction to chaos 2.2. Discoveries of chaos 2.3. Indications of chaotic behaviors 3. Research methodologies 3.1. Phase space plots 3.2. Phase space reconstruction and embedding dimension 3.3. BDS test 3.4. Correlation dimension estimation 3.5. Data 4. Empirical results 4.1. Time series plots and phase space plots 4.2. Tests of nonlineraility: BDS test 4.3. Tests of chaos: correlation dimension estimation 5. Conclusion Tables: 1. BDS test results 2. Estimated correlation dimension Figures: 1. Time series plots 2. Phase space plots 3. The correlation dimension (Vm)vs. embedding dimension (m)