Chaos in G7 stock markets using over one century of data : a note

Tiwari, Aviral Kumar; Gupta, Rangan

dc.contributor.author	Tiwari, Aviral Kumar
dc.contributor.author	Gupta, Rangan
dc.date.accessioned	2019-01-31T09:35:37Z
dc.date.issued	2019-01
dc.description.abstract	In our study, we tested for chaos in the historical daily and monthly datasets spanning over one century of stock returns for G7 countries. Applying the 0–1 test proposed by Gottwald and Melbourne (2005) and the recent test developed by BenSaïda and Litimi (2013), which is powerful in detecting chaotic dynamics, we found that (a) it is better to denoise the data before testing for chaos and (b), in general, chaos is observed for all countries, using both tests, when we denoised the data.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2020-01-01
dc.description.librarian	hj2019	en_ZA
dc.description.uri	http://www.elsevier.com/locate/ribaf	en_ZA
dc.identifier.citation	Tiwari, A.K. & Gupta, R. 2019, 'Chaos in G7 stock markets using over one century of data : a note', Research in International Business and Finance, vol. 47, pp. 304-310.	en_ZA
dc.identifier.issn	0275-5319
dc.identifier.other	10.1016/j.ribaf.2018.08.005
dc.identifier.uri	http://hdl.handle.net/2263/68325
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 47, pp. 304-310, 2019. doi : 10.1016/j.ribaf.2018.08.005.	en_ZA
dc.subject	Chaos	en_ZA
dc.subject	G7 countries	en_ZA
dc.subject	Stock returns	en_ZA
dc.title	Chaos in G7 stock markets using over one century of data : a note	en_ZA
dc.type	Postprint Article	en_ZA