Chaos theory has generated a conceptual revolution regarding the analysis of capital markets. In general, capital market is an exciting and suitable field to apply chaos theory. Through its fundamental characteristics, an emerging capital market such as Bucharest Stock Exchange is even more...

The study examines evidence for the transmission of the US and EU financial crises via investor holdings into the Chilean stock market following two global financial crises, in 2008 and 2011. The study modified the models of Bekaert et al. (2014), and Dungey and Gajurel (2015) on the 2007-2009...

The study examines evidence for the transmission of the US and EU financial crises via investor holdings into the Chilean stock market following two global financial crises, in 2008 and 2011. The study modified the models of Bekaert et al. (2014), and Dungey and Gajurel (2015) on the 2007-2009...

This article employs six techniques and tools such as chart analysis, chart recurrence, space temporary entropy, Hurst coefficient, Lyapunov exponent and dimension correlation on the copper, gold, oil, silver, zinc, aluminum, nickel, and lead return series to corroborate the existence of a...

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the Merval, Bovespa, S&P TSX Composite, IPSA, IGPA, S&P 500, Dow Jones Industrials, Nasdaq, IGBVL and IPC Stock Indexes respectively. The results of...

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of...

Recent international financial crises highlight the advantages of understanding the global financial system as a network of economies in which cross-border financial linkages are fundamental to the spread of systemic risk. We investigate the changing network of financial markets for six periods...

Recent international financial crises highlight the advantages of understanding the global financial system as a network of economies in which cross-border financial linkages are fundamental to the spread of systemic risk. We investigate the changing network of financial markets for six periods...

In this paper we study one of the consequences of the integration of markets: financial contagion in times of crisis. In recent years several authors have discussed which econometric techniques are best suited to the analysis of financial contagion. The main innovation of this paper is the...

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) set-up it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large...