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Chaotic Structure of the BRIC Countries and Turkey's Stock Market

Author

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  • Samet G nay

    (Department of Banking and Finance, School of Applied Sciences, Istanbul Arel University, Istanbul, Turkey.)

Abstract

In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, and fractality, we performed different methods to identify the existence of the chaos in stock index returns of the BRIC-T countries, using the Brock-Dechert-Scheinkman test, the Largest Lyapunov exponent and the Box-Counting method. Although there is widespread interest in chaos in finance theory, previous studies have neglected the long memory issue in their filtering model of nonlinear behaviors. Due to the fact that the Rescaled Range (R/S) analysis and Smith's (2005) modified GPH test indicated long memory in the index returns, we filtered the linear structure of the returns using the methods (ARFIMA, FIGARCH, FIEGARCH) which take long memory into account. Though the results have some significant evidence of chaos, the findings are too weak to support the presence of chaos in the stock markets of BRIC-T countries.

Suggested Citation

  • Samet G nay, 2015. "Chaotic Structure of the BRIC Countries and Turkey's Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 515-522.
    • Handle: RePEc:eco:journ1:2015-02-24
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    References listed on IDEAS

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    Cited by:

    1. Ivani Bora & Naliniprava Tripathy, 2016. "Random or Deterministic? Evidence from Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1716-1721.
    2. Zouhaier Dhifaoui, 2022. "Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets," South Asian Journal of Macroeconomics and Public Finance, , vol. 11(1), pages 69-94, June.
    3. Adil Yilmaz & Gazanfer Unal, 2016. "Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes," Papers 1601.08099, arXiv.org, revised Feb 2016.
    4. Gencer, Murat & Unal, Gazanfer, 2016. "Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities," MPRA Paper 74115, University Library of Munich, Germany.

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    More about this item

    Keywords

    Chaos; Fractals; Largest Lyapunov Exponent; Brock-Dechert-Scheinkman Test; Fractal Dimension;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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