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Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions

In: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays

Author

Listed:
  • George C. Philippatos

    (University of Tennessee, Knoxville, TN, USA)

  • Efi Pilarinu

    (Salomon Brothers, New York, NY, USA)

  • A. G. Malliaris

    (Loyola University of Chicago, Chicago, IL, USA)

Abstract

Brock's Residual Test Theorem and the BDS statistical test are the dynamic tools employed in this paper for analyzing international stock market data. Raw and detrended weekly returns and index levels for eleven International Indices (European, North-American, and from the Far East and Pacific region) are analyzed in a non-parametric fashion. By utilizing non-linearity tests adapted from chaos theory evidence is presented supporting integrated equity markets.

Suggested Citation

  • George C. Philippatos & Efi Pilarinu & A. G. Malliaris, 2005. "Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 9, pages 117-136, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812701015_0009
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    More about this item

    Keywords

    Asymptotic Economic Growth; Inflation; Interest Rates; Asset Pricing; Equity Markets; Foreign Currency; Monetary Policy; Crash;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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