Emerging Market Equity Prices and Chaos : Evidence from Thailand Exchange

We test for the presence of low-dimensional chaotic structure in the Stock Exchange of Thailand (SET) Index. 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 structure

MoreLess

Year of publication:	[2004]
Authors:	Adrangi, Bahram
Other Persons:	Chatrath, Arjun (contributor) ; Kamath, Ravindra (contributor) ; Raffiee, Kambiz (contributor)
Publisher:	[2004]: [S.l.] : SSRN

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Notes:	In: International Journal of Business, Vol. 9, No. 2, 2004
Classification:	G15 - International Financial Markets ; F30 - International Finance. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012785803