Reprint of: Chaos in G7 stock markets using over one century of data: A note

Aviral Tiwari and Rangan Gupta

Research in International Business and Finance, 2019, vol. 49, issue C, 315-321

Abstract: In our study, we tested for chaos in the historical daily and monthly datasets spanning over one century of stock returns for G7 countries. Applying the 0–1 test proposed by Gottwald and Melbourne (2005) and the recent test developed by BenSaïda and Litimi (2013), which is powerful in detecting chaotic dynamics, we found that (a) it is better to denoise the data before testing for chaos and (b), in general, chaos is observed for all countries, using both tests, when we denoised the data.

Keywords: Chaos; G7 countries; Stock returns (search for similar items in EconPapers)
JEL-codes: C12 C45 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:49:y:2019:i:c:p:315-321

DOI: 10.1016/j.ribaf.2019.05.002

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