Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa

Cheteni, Priviledge (2013): Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa. Published in: Mediterranean Journal of Social Sciences , Vol. 5, No. No 9 (1 May 2014): pp. 183-188.

Abstract

Since the global financial crisis that crippled the world’s financial markets in 2007, interest in nonlinear dynamics in form of deterministic chaos has increased. Hence, the main purpose of this study was to detect if whether stock returns exhibit nonlinear and chaotic tendencies. By using recent statistical tools to overcome some of the limitations faced in financial data. The study made use of the powerful BDS test, LM test and Variance Ratio Test. The empirical results suggest that the ALBI index exhibit nonlinear tendencies and chaotic behaviour.

• Item Type: MPRA Paper
• Language: English
• Keywords: Non-Linear,JSE, ALBI index, BDS, South Africa
• Subjects: G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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