Nonlinear Chaotic Behavior of Taiwanese Stock Market
| Autor: | Kang-Lin Peng, 彭康麟 |
|---|---|
| Rok vydání: | 2004 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 92 Traditionally, market returns have been assumed to be consistent with the random walk hypothesis. However, explaining anomalies in market returns, such as seasonal effects, the weekend effect, and the January effect, is difficult. This study examined time series data on Taiwan Weighted Index returns from the perspective of chaos theory. A topological method, the close returns test and recurrence quantification analysis (RQA), were applied to test whether Taiwan stock market returns exhibited chaotic behavior. The main findings of this study are that close returns test outperformed the traditional BDS (Brock, Dechert, Scheinkman) test and that Taiwan stock market returns exhibit recursive behavior rather than random walk behavior. Furthermore, RQA outperformed the close returns test by its detail of the chaotic behavior and its prediction ability. The RQA predictive model can explain the major variance of Taiwanese stock market. More noteworthy is the critical implication of endogenous information set of chaotic behavior in financial markets. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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