Emerging Market Equity Prices and Chaos: Evidence from Indonesia and Malaysia.
International Journal of Business 2008, Summer, 13, 3
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Publisher Description
ABSTRACT We test for the presence of low-dimensional chaotic structure in the Stock Exchanges of Indonesia and Malaysia. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes generally explain the nonlinearities in the data. We also show that employing seasonally adjusted index series contributes to obtaining robust results via some of the existing tests for chaotic structures.
GENRE
Business & Personal Finance
RELEASED
2008
June 22
LANGUAGE
EN
English
LENGTH
21
Pages
PUBLISHER
Premier Publishing, Inc.
SELLER
The Gale Group, Inc., a Delaware corporation and an affiliate of Cengage Learning, Inc.
SIZE
267
KB
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