연구정보
Chaotic Properties of the Philippine Stock Exchange Index Returns
필리핀 국외연구자료 기타 Jo-Hui Chen (Chung Yuan Christian University) Kaizen Publications 발간일 : 2016-10-05 등록일 : 2016-10-05 원문링크
This study found evidences of chaos in the Philippine Stock Exchange Index (PSEi) returns using three tests of chaotic behavior. The BDS test found that PSEi returns and ARMA residuals are not stochastic processes. With regards to the efficient market hypothesis (EMH), this paper cannot conclude the iid properties of GARCH residuals, except for the period of the Subprime Mortgage Crisis. The rescaled range (R/S) analysis showed that most Hurst exponents of the PSEi returns, ARMA and GARCH residuals have chaotic tendencies and have trend-reinforcing series, but showed anti-persistence during crisis. Furthermore, the correlation dimension analyses supplemented the first two initial tests and showed that the correlation dimension does not converge to a stable value as the embedding dimension increases. Both values increased in relation with each other, further confirming that PSEi returns, ARMA and GARCH residuals are consistent with chaos.
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