193-211

Stock Market and deterministic chaos

• Συριόπουλος, Κώστας
• Σιρλαντζής, Κώστας

This article (Stock Market and Deterministic Chaos) presents the results of tests for nonlinear dependence and low dimensional chaos in the daily returns of the General Index of the Athens Stock Exchange (ASE) from October 1986 to February 1994. We use the "rescaled range" R/S(H) statistic proposed by Hurst (1951) and explored by Mandelbrot (1972), and we provide some evidence that the returns of the ASE Index may exhibit long-range (or strong) dependence. We also investigate long-range dependence using Lo's (1991) extension of the classic R/S analysis, in which short-run dependence is incorporated into R/S(L) statistic. The acceptance of the null hupothesis is not conclusive. These results are not in conflict with previous research (Sirlantzis, Siriopoulos, 1993).

• Economics and Business
• Computer and information sciences

• Finance
• Economics
• Statistics

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