Email this article Χρηματιστηριακές διακυμάνσεις και προσδιοριστικό χάος
Abstract
This article (Stock Market and Deterministic Chaos) presents the results of tests for nonlinear
dependence and low dimensional chaos in the daily returns of the General Index of the Athens Stock
Exchange (ASE) from October 1986 to February 1994. We use the "rescaled range" R/S(H) statistic
proposed by Hurst (1951) and explored by Mandelbrot (1972), and we provide some evidence that the
returns of the ASE Index may exhibit long-range (or strong) dependence. We also investigate long-range
dependence using Lo's (1991) extension of the classic R/S analysis, in which short-run dependence is
incorporated into R/S(L) statistic. The acceptance of the null hupothesis is not conclusive. These results
are not in conflict with previous research
dependence and low dimensional chaos in the daily returns of the General Index of the Athens Stock
Exchange (ASE) from October 1986 to February 1994. We use the "rescaled range" R/S(H) statistic
proposed by Hurst (1951) and explored by Mandelbrot (1972), and we provide some evidence that the
returns of the ASE Index may exhibit long-range (or strong) dependence. We also investigate long-range
dependence using Lo's (1991) extension of the classic R/S analysis, in which short-run dependence is
incorporated into R/S(L) statistic. The acceptance of the null hupothesis is not conclusive. These results
are not in conflict with previous research
Keywords
Stock exchange; Capital market
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