Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions

George C. Philippatos, Efi Pilarinu and Anastasios Malliaris
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George C. Philippatos: University of Tennessee, Knoxville, TN, USA
Efi Pilarinu: Salomon Brothers, New York, NY, USA

Chapter 9 in Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays, 2005, pp 117-136 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractBrock's Residual Test Theorem and the BDS statistical test are the dynamic tools employed in this paper for analyzing international stock market data. Raw and detrended weekly returns and index levels for eleven International Indices (European, North-American, and from the Far East and Pacific region) are analyzed in a non-parametric fashion. By utilizing non-linearity tests adapted from chaos theory evidence is presented supporting integrated equity markets.

Keywords: Asymptotic Economic Growth; Inflation; Interest Rates; Asset Pricing; Equity Markets; Foreign Currency; Monetary Policy; Crash (search for similar items in EconPapers)
JEL-codes: C58 C73 E31 E37 E43 G12 G17 (search for similar items in EconPapers)
Date: 2005
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