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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Li Hong-quan Ma Chao-qun |
| Copyright Year | 2006 |
| Description | Author affiliation: Sch. of Bus., Hunan Normal Univ. (Li Hong-quan) |
| Abstract | The nature and behavior of stock market prices have been and continue to be of interest to academicians, market regulators and practitioners. In recent times, the characterization of equity market return series as random in nature has been questioned by the application of new statistical tools. This study uses recent advances in chaos theory to examine the behavior of the Chinese stock prices. The results indicate that the stock indices series examined are not IID. The results show that Chinese stock markets are not truly random since some cycle or patterns show up more frequently than would be expected in a true random walk. Furthermore, evidence from our research indicates the low-dimensional chaotic dynamics exists in the behavior of the index series. So, the price movements are an endogenous phenomenon of a market. The result may have implications for derivative instruments on the indices as well as weak form market efficiency |
| Sponsorship | Nat. Natural Sci. Found. of China Harbin Inst. of Technol. P.R. China |
| Starting Page | 1691 |
| Ending Page | 1695 |
| File Size | 5227499 |
| Page Count | 5 |
| File Format | |
| ISBN | 7560323553 |
| DOI | 10.1109/ICMSE.2006.314062 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2006-10-05 |
| Publisher Place | France |
| Access Restriction | Subscribed |
| Rights Holder | HARBIN INSTITUTE OF TECHNOLOGY |
| Subject Keyword | Chaos Regulators Nonlinear equations Instruments Information security Random walk Educational institutions Chaotic dynamics Stock market Stock markets Pattern analysis Testing |
| Content Type | Text |
| Resource Type | Article |
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