Nonlinearities and Chaos: A New Analysis of CEE Stock Markets
After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavi...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/7/707 |
| _version_ | 1827696815501213696 |
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| author | Claudiu Tiberiu Albulescu Aviral Kumar Tiwari Phouphet Kyophilavong |
| author_facet | Claudiu Tiberiu Albulescu Aviral Kumar Tiwari Phouphet Kyophilavong |
| author_sort | Claudiu Tiberiu Albulescu |
| collection | DOAJ |
| description | After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s. |
| first_indexed | 2024-03-10T12:55:39Z |
| format | Article |
| id | doaj.art-ee27b2fb9ecc42d495e076c52629bc18 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T12:55:39Z |
| publishDate | 2021-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-ee27b2fb9ecc42d495e076c52629bc182023-11-21T11:57:37ZengMDPI AGMathematics2227-73902021-03-019770710.3390/math9070707Nonlinearities and Chaos: A New Analysis of CEE Stock MarketsClaudiu Tiberiu Albulescu0Aviral Kumar Tiwari1Phouphet Kyophilavong2Management Department, Research Center in Engineering and Management, Politehnica University of Timisoara, 300006 Timisoara, RomaniaRajagiri Business School, Kochi 682039, IndiaFaculty of Economics and Business Management, National University of Laos, Vientiane 7322, LaosAfter a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.https://www.mdpi.com/2227-7390/9/7/707nonlinearitieschaosstock marketsefficient market hypothesisCEE countries |
| spellingShingle | Claudiu Tiberiu Albulescu Aviral Kumar Tiwari Phouphet Kyophilavong Nonlinearities and Chaos: A New Analysis of CEE Stock Markets Mathematics nonlinearities chaos stock markets efficient market hypothesis CEE countries |
| title | Nonlinearities and Chaos: A New Analysis of CEE Stock Markets |
| title_full | Nonlinearities and Chaos: A New Analysis of CEE Stock Markets |
| title_fullStr | Nonlinearities and Chaos: A New Analysis of CEE Stock Markets |
| title_full_unstemmed | Nonlinearities and Chaos: A New Analysis of CEE Stock Markets |
| title_short | Nonlinearities and Chaos: A New Analysis of CEE Stock Markets |
| title_sort | nonlinearities and chaos a new analysis of cee stock markets |
| topic | nonlinearities chaos stock markets efficient market hypothesis CEE countries |
| url | https://www.mdpi.com/2227-7390/9/7/707 |
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