Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos

Espinosa Méndez, Christian (2005): Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos. Forthcoming in: Trimestre Económico , Vol. 296, (31 September 2007)

Abstract

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of different techniques and methods like: Graphic Analysis, Recurrence Analysis, Temporal Space Entropy, Hurst Coefficient, Lyapunov Exponential and Correlation Dimension support the hypothesis that the stock markets behave in a chaotic way and rejected the hypothesis of randomness. Our conclusion validates the use of prediction techniques in those stock markets. It’s remarkable the result of the Hurst Coefficient Technique, that in average was of 0,75 for the indexes of this study which would justify the use of ARFIMA models among others for the prediction of such series.

• Item Type: MPRA Paper
• Institution: Universidad Diego Portales
• English Title: Evidence Of Chaotic Behavior In American Stock Markets
• Language: Spanish
• Keywords: Chaos Theory; Recurrence Analysis; Temporal Space Entropy; Hurst Coefficient; Lyapunov Exponential; Correlation Dimension; BDS Test
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; 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; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General

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