Applying non-linear dynamics in the Singapore stock market using Chaos theory
The question of whether the Stock Exchange of Singapore (SES) is weak-form efficient under the Efficient Market Hypothesis (EMH) has been a topic of much debate. Although various tests have been conducted to verify its efficiency, they have yielded inconclusive and mixed results. The problem may lie...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2014
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/59684 |
| _version_ | 1826117980000354304 |
|---|---|
| author | Foo, Onn Siew Koh, Tee Chin Lee, Jia Yen |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Foo, Onn Siew Koh, Tee Chin Lee, Jia Yen |
| author_sort | Foo, Onn Siew |
| collection | NTU |
| description | The question of whether the Stock Exchange of Singapore (SES) is weak-form efficient under the Efficient Market Hypothesis (EMH) has been a topic of much debate. Although various tests have been conducted to verify its efficiency, they have yielded inconclusive and mixed results. The problem may lie in the fault of the models used and their simplifying assumptions. All the current tests for weak form efficiency are based on the linear model, which we will show may be invalid to be used for analysing the capital markets, since capital markets are non-linear in nature. |
| first_indexed | 2024-10-01T04:36:15Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/59684 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:36:15Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/596842023-05-19T06:09:02Z Applying non-linear dynamics in the Singapore stock market using Chaos theory Foo, Onn Siew Koh, Tee Chin Lee, Jia Yen Nanyang Business School Jesse Seegmiller DRNTU::Business The question of whether the Stock Exchange of Singapore (SES) is weak-form efficient under the Efficient Market Hypothesis (EMH) has been a topic of much debate. Although various tests have been conducted to verify its efficiency, they have yielded inconclusive and mixed results. The problem may lie in the fault of the models used and their simplifying assumptions. All the current tests for weak form efficiency are based on the linear model, which we will show may be invalid to be used for analysing the capital markets, since capital markets are non-linear in nature. BUSINESS 2014-05-12T03:15:19Z 2014-05-12T03:15:19Z 1995 1995 Final Year Project (FYP) http://hdl.handle.net/10356/59684 en Nanyang Technological University 90 p. application/pdf |
| spellingShingle | DRNTU::Business Foo, Onn Siew Koh, Tee Chin Lee, Jia Yen Applying non-linear dynamics in the Singapore stock market using Chaos theory |
| title | Applying non-linear dynamics in the Singapore stock market using Chaos theory |
| title_full | Applying non-linear dynamics in the Singapore stock market using Chaos theory |
| title_fullStr | Applying non-linear dynamics in the Singapore stock market using Chaos theory |
| title_full_unstemmed | Applying non-linear dynamics in the Singapore stock market using Chaos theory |
| title_short | Applying non-linear dynamics in the Singapore stock market using Chaos theory |
| title_sort | applying non linear dynamics in the singapore stock market using chaos theory |
| topic | DRNTU::Business |
| url | http://hdl.handle.net/10356/59684 |
| work_keys_str_mv | AT fooonnsiew applyingnonlineardynamicsinthesingaporestockmarketusingchaostheory AT kohteechin applyingnonlineardynamicsinthesingaporestockmarketusingchaostheory AT leejiayen applyingnonlineardynamicsinthesingaporestockmarketusingchaostheory |