Article
Chaotic dynamics in pacific rim capital markets
The Academy of Accounting and Financial Studies Journal
(1999)
Abstract
The informational efficiency of financial markets has been an age old, yet intriguing topic of debate among finance theorists and practitioners. Random-walk tests employed in the past have established the weak-form efficiency of financial markets in most major industrialized nations. However, recent advances in the study of nonlinear deterministic systems have uncovered chaotic processes that can generate data series that may appear random to linear science. These discoveries have sparked a renewed rigor in the examination of capital market efficiency. Moreover, recent deliberations about viewing economies as evolutionary dynamical processes lend credence to the hypothesis that aggregate stock market behavior may be driven by a "vision of the future" (Grabbe 1996) and hence may embody an underlying deterministic mechanism. In light of these recent developments, investigations of underlying chaotic deterministic mechanisms in stock market aggregates has taken on an increased significance.
Keywords
- Business,
- Finance,
- Pacific Rim Capital Markets
Disciplines
Publication Date
1999
Citation Information
Vivek Pandey, T. Kohers and G. Kohers. "Chaotic dynamics in pacific rim capital markets" The Academy of Accounting and Financial Studies Journal Vol. 4 Iss. 2 (1999) p. 1 - 21 Available at: http://works.bepress.com/vivek-pandey/23/