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The behaviour of some UK equity indices: An application of Hurst and BDS tests1

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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. García Ruiz Reyna Susana & Cruz Aké Salvador & Venegas Martínez Francisco, 2014. "Una medida de eficiencia de mercado: Un enfoque de teoría de la información," Contaduría y Administración, Accounting and Management, vol. 59(4), pages 137-166, octubre-d.
  3. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  4. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
  5. Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011. "A search for long-range dependence and chaotic structure in Indian stock market," Review of Financial Economics, Elsevier, vol. 20(2), pages 96-104, May.
  6. Abdul Rahman & Samir Saadi, 2008. "Random walk and breaking trend in financial series: An econometric critique of unit root tests," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 204-212, August.
  7. Prince Kwasi Sarpong & Mabutho Sibanda & Merle Holden, 2016. "Investigating Chaos on the Johannesburg Stock Exchange," Journal of Economics and Behavioral Studies, AMH International, vol. 8(5), pages 56-67.
  8. Coronado-Ramírez, Semei L. & Porras-Serrano, Jesús & Venegas-Martínez, Francisco, 2011. "Estructuras no lineales en mercados eficientes: el caso IBEX-35," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Economía: Teoría y Métodos, volume 1, chapter 8, pages 116-129, Escuela Superior de Economía, Instituto Politécnico Nacional.
  9. Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
  10. Jamdee, Sutthisit & Los, Cornelis A., 2007. "Long memory options: LM evidence and simulations," Research in International Business and Finance, Elsevier, vol. 21(2), pages 260-280, June.
  11. Trofimov, Ivan D., 2013. "Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australian," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 87-112.
  12. Yen-Hsien Lee, 2010. "The Impact Of Deregulation On Stock Market Efficiency," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(2), pages 165-176.
  13. Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
  14. Mirzaee Ghazani, Majid & Khalili Araghi, Mansour, 2014. "Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange," Research in International Business and Finance, Elsevier, vol. 32(C), pages 50-59.
  15. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
  16. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.
  17. Ayan Bhattacharya & Rudra Sensarma, 2013. "Non-linearities in Emerging Financial Markets: Evidence from India," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 165-175, July.
  18. Cal Muckley, 2004. "Empirical asset return distributions: is chaos the culprit?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 81-86.
  19. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
  20. Jia, Rui-Lin & Wang, Dong-Hua & Tu, Jing-Qing & Li, Sai-Ping, 2016. "Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 464(C), pages 83-92.
  21. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January.
  22. Balkiz, Ozer, 2003. "Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 37, pages 3-20.
  23. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology.
  24. Trofimov, Ivan D., 2013. "Nonparametric approach to portfolio diversification: the case of Australian equity market," MPRA Paper 79562, University Library of Munich, Germany.
  25. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
  26. B. Jirasakuldech & Riza Emekter & Unro Lee, 2008. "Business conditions and nonrandom walk behaviour of US stocks and bonds returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 659-672.
  27. Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
  28. Batten, Jonathan A. & Ellis, Craig & Fetherston, Thomas A., 2005. "Return anomalies on the Nikkei: Are they statistical illusions?," Chaos, Solitons & Fractals, Elsevier, vol. 23(4), pages 1125-1136.
  29. Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  30. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
  31. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  32. Naimat U Khan & Sajjad Khan, 2016. "Weak Form of Efficient Market Hypothesis: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 8(SE), pages 1-18, March.
  33. Iseri, Müge & Caglar, Hikmet & Caglar, Nazan, 2008. "A model proposal for the chaotic structure of Istanbul stock exchange," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1392-1398.
  34. Monia Antar Limam, 2017. "Autosimilarty, Long Memory and Chaos: Evidence from the Tunisian Market," Business and Management Studies, Redfame publishing, vol. 3(2), pages 61-77, June.
  35. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
  36. Claudio Bonilla & Carlos Maquieira & Rafael Romero-Meza, 2008. "Nonlinear behaviour of emerging market bonds spreads: the Latin American case," Applied Economics, Taylor & Francis Journals, vol. 40(20), pages 2697-2702.
  37. John Francis Diaz & Jo-Hui Chen, 2017. "Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
  38. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
  39. Gourishankar S Hiremath & Bandi Kamaiah, 2010. "Nonlinear Dependence in Stock Returns: Evidences from India," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 69-85, January.
  40. Yang, Mo & Wang, Ruotong & Zeng, Zixun & Li, Peizhi, 2024. "Improved prediction of global gold prices: An innovative Hurst-reconfiguration-based machine learning approach," Resources Policy, Elsevier, vol. 88(C).
  41. 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.
  42. Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI, 2013. "Fractal Analysis of the Gold Market in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-163, October.
  43. Claudia Sanhueza & Dante Contreras & Angela Denis, 2012. "Terremoto y sus efectos sobre el bienestar: un análisis multidimensional," Working Papers 35, Facultad de Economía y Empresa, Universidad Diego Portales.
  44. BenSaïda, Ahmed & Litimi, Houda, 2013. "High level chaos in the exchange and index markets," Chaos, Solitons & Fractals, Elsevier, vol. 54(C), pages 90-95.
  45. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
  46. Vogl, Markus & Kojić, Milena & Mitić, Petar, 2024. "Dynamics of green and conventional bond markets: Evidence from the generalized chaos analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 633(C).
  47. Evzen Kocenda & Lubos Briatka, 2005. "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 265-296.
  48. Rafael Romero-Meza & Claudio Bonilla & Melvin Hinich, 2007. "Nonlinear event detection in the Chilean stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 14(13), pages 987-991.
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