Study on the Non-Random and Chaotic Behavior of Chinese Equities Market

2003 ◽  
Vol 06 (02) ◽  
pp. 199-222 ◽  
Author(s):  
Patrick K. K. Chu
Keyword(s):  
Nonlinear Dynamics ◽  
Stock Market ◽  
Chaos Theory ◽  
Hurst Exponent ◽  
Chaotic Dynamics ◽  
Financial Analysis ◽  
Chaotic Behavior ◽  
Stock Exchange ◽  
Stock Market Crash ◽  
Bds Test

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 non-random, nonlinear and chaotic characteristics are investigated by employing various tests from chaos theory. The Hurst exponent in R/S analysis rejects the hypothesis that the index return series are random, independent and identically distributed. The BDS test provides evidence for nonlinearity. The estimated correlation dimensions provide evidence for deterministic chaotic behaviors.

Non-Linearity and Chaotic Behaviour in Cyprus Stock Market

2015 ◽  
Vol 5 (4) ◽  
Author(s):  
Athina Bougioukou
Keyword(s):  
Lyapunov Exponent ◽  
Stock Market ◽  
Chaos Theory ◽  
Linear Dependence ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Chaotic Behaviour ◽  
Maximum Lyapunov Exponent ◽  
Efficient Market ◽  
General Index

The intention of this research is to investigate the aspect of non-linearity and chaotic behavior of the Cyprus stock market. For this purpose, we use non-linearity and chaos theory. We perform BDS, Hinich-Bispectral tests and compute Lyapunov exponent of the Cyprus General index. The results show that existence of non-linear dependence and chaotic features as the maximum Lyapunov exponent was found to be positive. This study is important because chaos and efficient market hypothesis are mutually exclusive aspects. The efficient market hypothesis which requires returns to be independent and identically distributed (i.i.d.) cannot be accepted.

Iran’s ebullient stock market is heading for a crash

2020 ◽  
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Real Estate Market ◽  
Social Consequences ◽  
Stock Market Crash ◽  
Content Type ◽  
High Inflation ◽  
Online Trading ◽  
The Government ◽  
Media Channels

Significance This was despite a sharp economic contraction, high inflation and currency devaluation. The government has played a significant role in promoting equities growth, with state or quasi-state organisations dominating the market. Impacts A stock market crash would have devastating economic and social consequences. With many reluctant to leave their houses because of COVID-19, the growth in online trading technology will accelerate. There will be a boom in firms providing stock market advice through social media channels for a small one-off or monthly fee. Diversion of funds from the forex market to the stock exchange will temporarily help ward off a new currency crisis. With richer Iranians seeking to transfer additional assets abroad, there could be a new boost for the Turkish real estate market.

PERSISTENCE PROBABILITY ANALYZED ON THE TAIWAN STOCK MARKET

2009 ◽  
Vol 23 (22) ◽  
pp. 4713-4726 ◽  
Author(s):  
I.-CHUN CHEN ◽  
HUNG-JUNG CHEN ◽  
HSEN-CHE TSENG
Keyword(s):  
Correlation Function ◽  
Stock Market ◽  
Hurst Exponent ◽  
Stock Exchange ◽  
Numerical Study ◽  
Data Sources ◽  
Persistence Probability ◽  
Taiwan Stock Exchange ◽  
Intraday Data ◽  
The One

We report a numerical study of the Taiwan stock market, in which we used three data sources: the daily Taiwan stock exchange index (TAIEX) from January 1983 to May 2006, the daily OTC index from January 1995 to May 2006, and the one-min intraday data from February 2000 to December 2003. Our study is based on numerical estimates of persistence exponent θp, Hurst exponent H2, and fluctuation exponent h2. We also discuss the results concerning persistence probability P(t), qth-order price–price correlation function Gq(t), and qth-order normalized fluctuation function fq(t) among these indices.

scholarly journals Chaos in Human Behavior: The Case of Work Motivation

2010 ◽  
Vol 13 (1) ◽  
pp. 244-256 ◽  
Author(s):  
José Navarro ◽  
Carlos Arrieta
Keyword(s):  
Human Behavior ◽  
Chaos Theory ◽  
Correlation Dimension ◽  
Chaotic Dynamics ◽  
Complex Dynamics ◽  
Work Motivation ◽  
Chaotic Behavior ◽  
Relevant Information ◽  
Surrogate Data ◽  
Recurrence Plots

This study considers the complex dynamics of work motivation. Forty-eight employees completed a work-motivation diary several times per day over a period of four weeks. The obtained time series were analysed using different methodologies derived from chaos theory (i.e. recurrence plots, Lyapunov exponents, correlation dimension and surrogate data). Results showed chaotic dynamics in 75% of cases. The findings confirm the universality of chaotic behavior within human behavior, challenge some of the underlying assumptions on which work motivation theories are based, and suggest that chaos theory may offer useful and relevant information on how this process is managed within organizations.

scholarly journals Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash

2019 ◽  
Vol 11 (6) ◽  
pp. 1699 ◽  
Author(s):  
Chenyu Han ◽  
Yiming Wang ◽  
Yingying Xu
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Practical Significance ◽  
Fluctuation Analysis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Gaussian Probability Density Function ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Daily Return

This paper examines the daily return series of four main indices, including Shanghai Stock Exchange Composite Index (SSE), Shenzhen Stock Exchange Component Index (SZSE), Shanghai Shenzhen 300 Index (SHSE-SZSE300), and CSI Smallcap 500 index (CSI500) in Chinese stock market from 2000 to 2018 by multifractal detrended fluctuation analysis (MF-DFA). The series of the daily return of the indices exhibit significant multifractal properties on the whole time scale and SZSE has the highest multifractal properties among the four indices, indicating the lowest market efficiency. The multifractal properties of four indices are due to long-range correlation and fat-tail characteristics of the non-Gaussian probability density function, and these two factors have different effects on the multifractality of four indices. This paper aims to compare the multifractility degrees of the four indices in three sub-samples divided by the 2015 stock market crash and to discuss its effects on efficiency of the Shanghai and Shenzhen stock market in each sub-sample. Meanwhile, we study the effect of the 2015 stock market crash on market efficiency from the statistical and fractal perspectives, which has theoretical and practical significance in the application of Effective Market Hypothesis (EMH) in China’s stock market, and it thereby affects the healthy and sustainability of the market. The results also provide important implications for further study on the dynamic mechanism and efficiency in stock market and they are relevant to portfolio managers and policy makers in a number of ways to maintain the sustainable development of China’s capital market and economy.

scholarly journals The Significance of Financial Analysis Methods in the Rationalization of Investment Decisions in Stock Market – The Case of Khartoum Stock Exchange, During the Period from 2014  to 2018 –: أهمية استخدام أساليب التحليل المالي في ترشيد قرارات الاستثمار في سوق الأوراق المالية – دراسة حالة سوق الخرطوم للأوراق المالية خلال الفترة 2014 - 2018 –

2020 ◽  
Vol 4 (10) ◽  
Author(s):  
Mustafa Mohammed Zain, Asim Hassan Mohammed
Keyword(s):  
Decision Making ◽  
Stock Market ◽  
Financial Analysis ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Financial Statements ◽  
Financial Data ◽  
Descriptive Approach

This research aimed primarily to clarify the extent of the significance of financial analysis tools in the rationalization of investors’ decisions in the Khartoum Stock Exchange. This is, however, will be effected by identifying the role of financial analysis using financial ratios to provide information to make a sound decision. To achieve this objective, the research used the analytical descriptive approach, since the same conforms to such types of researches. To affect this, the research relied basically on the annual financial data of the case study. Based on said account, the research has reached a number of findings, the most significant of which, are the following: The utilization of trend analysis reporting in the Khartoum Stock Exchange has a great significance in the performance evaluation of the stock market. The liquidity ratios as a tool for financial statements analysis deemed as a perfect indicator in the process of decision making in the stock market. The debt ratios are the most significant tools in the financial analysis of the published financial statements, which help investors to take sound investment decisions.

scholarly journals Prediction model of stock market based on Chaos Theory

2021 ◽  
Vol 275 ◽  
pp. 01013
Author(s):  
Wenhan Qiao
Keyword(s):  
Stock Market ◽  
Dynamic Characteristics ◽  
Chaos Theory ◽  
Stock Prices ◽  
Stock Exchange ◽  
Development Trend ◽  
Exchange Market ◽  
Scale Modeling ◽  
Nonlinear Dynamic Characteristics ◽  
Modeling And Forecasting

After more than 30 years of development, China’s stock exchange market has already had a considerable scale. Modeling and forecasting stock prices is always a problem. Based on the data of three stocks given in the title, this paper analyzes the characteristics and development trend of each stock. Based on the foothold of chaos theory[1] this paper studies the nonlinear dynamic characteristics and predictability of China’s stock market, and finally tests it.

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