Using nonlinear dynamics to test for market efficiency among the global diversificationThe Quarterly Review of Economics and Finance (1998)
The existing evidence on the influence of low dimensional chaotic dynamics in U.S. stock market returns is spotty and inconclusive. This study contributes to the existing evidence by examining the returns in the New York Stock Exchange, the American Stock Exchange, and the Over-the-Counter Market. Moreover, in light of the significance of the “size effect,” which recently has received renewed attention in the literature, this study examines portfolios categorized by firm size. The results suggest that the NYSE large-firm portfolio is driven by a low-dimensional deterministic influence, making it potentially predictable.
- Nonlinear Dynamics,
- Market Efficiency,
- Global Diversification
Citation InformationVivek Pandey, T. Kohers and G. Kohers. "Using nonlinear dynamics to test for market efficiency among the global diversification" The Quarterly Review of Economics and Finance Vol. 37 Iss. 2 (1998) p. 523 - 545
Available at: http://works.bepress.com/vivek-pandey/26/