Chaotic Structure of the BRIC Countries and Turkey's Stock Market
In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, and fractality, we performed different methods to identify the existence of...
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| Format: | Article |
| Language: | English |
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EconJournals
2015-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/1051 |
| _version_ | 1797921275247591424 |
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| author | Samet Günay |
| author_facet | Samet Günay |
| author_sort | Samet Günay |
| collection | DOAJ |
| description |
In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, and fractality, we performed different methods to identify the existence of the chaos in stock index returns of the BRIC-T countries, using the Brock-Dechert-Scheinkman (BDS) test, the Largest Lyapunov exponent and the Box-Counting method. Although there is widespread interest in chaos in finance theory, previous studies have neglected the long memory issue in their filtering model of nonlinear behaviors. Due to the fact that the Rescaled Range (R/S) analysis and Smith’s (2005) modified GPH test indicated long memory in the index returns, we filtered the linear structure of the returns using the methods (ARFIMA, FIGARCH, FIEGARCH) which take long memory into account. Though the results have some significant evidence of chaos, the findings are too weak to support the presence of chaos in the stock markets of BRIC-T countries.
Keywords: Chaos, Fractals; Largest Lyapunov exponent; BDS Test; Fractal Dimension
JEL Classifications: C14; C22; G10
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| first_indexed | 2024-04-10T14:13:45Z |
| format | Article |
| id | doaj.art-f254a400d26b4c0e825f60895b77d98e |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:13:45Z |
| publishDate | 2015-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-f254a400d26b4c0e825f60895b77d98e2023-02-15T16:09:38ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382015-04-0152Chaotic Structure of the BRIC Countries and Turkey's Stock MarketSamet Günay0Assistant Professor of Finance Department of Banking and Finance, School of Applied Sciences, Istanbul Arel University In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, and fractality, we performed different methods to identify the existence of the chaos in stock index returns of the BRIC-T countries, using the Brock-Dechert-Scheinkman (BDS) test, the Largest Lyapunov exponent and the Box-Counting method. Although there is widespread interest in chaos in finance theory, previous studies have neglected the long memory issue in their filtering model of nonlinear behaviors. Due to the fact that the Rescaled Range (R/S) analysis and Smith’s (2005) modified GPH test indicated long memory in the index returns, we filtered the linear structure of the returns using the methods (ARFIMA, FIGARCH, FIEGARCH) which take long memory into account. Though the results have some significant evidence of chaos, the findings are too weak to support the presence of chaos in the stock markets of BRIC-T countries. Keywords: Chaos, Fractals; Largest Lyapunov exponent; BDS Test; Fractal Dimension JEL Classifications: C14; C22; G10 https://econjournals.com/index.php/ijefi/article/view/1051 |
| spellingShingle | Samet Günay Chaotic Structure of the BRIC Countries and Turkey's Stock Market International Journal of Economics and Financial Issues |
| title | Chaotic Structure of the BRIC Countries and Turkey's Stock Market |
| title_full | Chaotic Structure of the BRIC Countries and Turkey's Stock Market |
| title_fullStr | Chaotic Structure of the BRIC Countries and Turkey's Stock Market |
| title_full_unstemmed | Chaotic Structure of the BRIC Countries and Turkey's Stock Market |
| title_short | Chaotic Structure of the BRIC Countries and Turkey's Stock Market |
| title_sort | chaotic structure of the bric countries and turkey s stock market |
| url | https://econjournals.com/index.php/ijefi/article/view/1051 |
| work_keys_str_mv | AT sametgunay chaoticstructureofthebriccountriesandturkeysstockmarket |