A WAY TO DETERMINE CHAOTIC BEHAVIOUR IN ROMANIAN STOCK MARKET

Emilian Neacsu and Marcela Daniela Todoni ()
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Marcela Daniela Todoni: West University of Timisoara, Faculty of Economics and Business Administration, Timisoara, Romania

Review of Economic and Business Studies, 2014, issue 14, 207-214

Abstract: It is difficult to distinguish between multiple random shocks and endogenous informational inflow in nonlinear systems which show complex dynamics. For this reason, we run the chaos tests to investigate the presence of chaotic phenomena using: nonlinearity tests, Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA). In this paper, we compute the Hurst Exponent using R/S analysis on Romanian capital market for a time span between 2005 - 2014 daily data. Substantial changes of Hurst Exponent behaviour in the current period compared to the previous one may be seen as structural break points in the series. The goal of this paper is to determine time series chaotic behaviour in order to highlight the efficiency levels of CEE markets. Also, we aim to investigate the changes in drifting dynamical systems, to examine the recurring patterns – the most important features of complex systems and to admire the "simple beauty of the complexity".

Keywords: Hurst exponent; chaotic behaviour; structural breaks; recurrence analysis (search for similar items in EconPapers)
JEL-codes: B59 C61 D53 G01 G14 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2014:d:14:neacsue

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