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Market Characteristics and Chaos Dynamics in Stock Markets: an International Comparison

In: New Drivers of Performance in a Changing Financial World

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  • Gianluca Mattarocci

Abstract

Capital markets are characterized by significant differences in investors’ attitudes and expectations that, as a rule, determine unusual price dynamics that are unlike those suggested by classical linear models (Westerhoff, 2005).

Suggested Citation

  • Gianluca Mattarocci, 2009. "Market Characteristics and Chaos Dynamics in Stock Markets: an International Comparison," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 6, pages 89-106, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-0-230-59481-4_6
    DOI: 10.1057/9780230594814_6
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    References listed on IDEAS

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    Cited by:

    1. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.

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    More about this item

    Keywords

    Stock Market; Transaction Cost; Stock Return; Chaotic Dynamic; Institutional Investor;
    All these keywords.

    JEL classification:

    • D49 - Microeconomics - - Market Structure, Pricing, and Design - - - Other
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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