Chaos in G7 stock markets using over one century of data : a note
| dc.contributor.author | Tiwari, Aviral Kumar | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| 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 |