Chaos in an Emerging Capital Market? The Case of the Athens Stock Exchange

John Barkoulas; Nickolaos Travlos

Chaos in an Emerging Capital Market? The Case of the Athens Stock Exchange

John Barkoulas, Nickolaos Travlos

Finance

Louisiana Tech University

Research output: Contribution to journal › Article › peer-review

63 Scopus citations

Abstract

This paper investigates the existence of a deterministic nonlinear structure in the stock returns of the Athens Stock Exchange (Greece), an emerging capital market. The analysis utilizes the concepts of correlation dimension and Kolmogorov entropy, and it also includes a forecasting experiment. Application of the BDS statistical test to raw and filtered returns series suggests the presence of nonlinearities. The findings provide very weak, at best, evidence in support of a nonlinear deterministic data generating process.

Original language	American English
Journal	Applied Financial Economics
Volume	8
State	Published - 1998

Disciplines

Finance

Keywords

Athens
Case
Chaos
Emerging capital market
Stock exchange

Cite this

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title = "Chaos in an Emerging Capital Market? The Case of the Athens Stock Exchange",

abstract = "This paper investigates the existence of a deterministic nonlinear structure in the stock returns of the Athens Stock Exchange (Greece), an emerging capital market. The analysis utilizes the concepts of correlation dimension and Kolmogorov entropy, and it also includes a forecasting experiment. Application of the BDS statistical test to raw and filtered returns series suggests the presence of nonlinearities. The findings provide very weak, at best, evidence in support of a nonlinear deterministic data generating process.",

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AU - Travlos, Nickolaos

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AB - This paper investigates the existence of a deterministic nonlinear structure in the stock returns of the Athens Stock Exchange (Greece), an emerging capital market. The analysis utilizes the concepts of correlation dimension and Kolmogorov entropy, and it also includes a forecasting experiment. Application of the BDS statistical test to raw and filtered returns series suggests the presence of nonlinearities. The findings provide very weak, at best, evidence in support of a nonlinear deterministic data generating process.

KW - Athens

KW - Case

KW - Chaos

KW - Emerging capital market

KW - Stock exchange

UR - https://doi.org/10.1080/096031098332998

M3 - Article

SN - 0003-6846

VL - 8

JO - Applied Financial Economics

JF - Applied Financial Economics

ER -

Chaos in an Emerging Capital Market? The Case of the Athens Stock Exchange

Abstract

Disciplines

Keywords

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