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Nonlinear dynamics and daily stock returns on the Taiwan Stock Exchange

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  • Yih-Luan Chyi

Abstract

This paper studies the nonlinear dynamics of the stock returns on the Taiwan Stock Exchange. A fuzzy system modelling approach is introduced to fit and forecast the stock returns on the TSE. The result of the BDS test implies that we may have a good chance to fit and forecast more accurately the daily stock returns by using a fuzzy system model

Suggested Citation

  • Yih-Luan Chyi, 1997. "Nonlinear dynamics and daily stock returns on the Taiwan Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 619-634.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:619-634
    DOI: 10.1080/758533854
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    Cited by:

    1. Kian-Ping Lim, 2009. "Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 519-522.
    2. Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, vol. 12(1), pages 139-151.
    3. Brad S. Trinkle, 2005. "Forecasting annual excess stock returns via an adaptive network‐based fuzzy inference system," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 13(3), pages 165-177, July.
    4. Harris, Richard D. F. & Kucukozmen, C. Coskun, 2001. "Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management," European Journal of Operational Research, Elsevier, vol. 134(3), pages 481-492, November.

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