Chaos in G7 Stock Markets using Over One Century of Data: A Note

Aviral Tiwari, Rangan Gupta and Stelios Bekiros

No 201678, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper we test for chaos on historical daily and monthly datasets stock returns for G7 countries spanning over one century. Applying the 0-1 test proposed by Gottwald and Melbourne (2005) and the recent test developed by BenSaïda (2012), which is powerful in detecting chaotic dynamics, we find that: (a) It is better to denoise the data before testing for chaos; (b) In general, chaos is observed for all countries when we denoise the data based on both tests, and; (c) Strong evidence of chaotic behavior is observed in Canada, France and the UK.

Keywords: Chaos; G7 countries; stock returns (search for similar items in EconPapers)
JEL-codes: C12 C45 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2016-10
New Economics Papers: this item is included in nep-his
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Journal Article: Chaos in G7 stock markets using over one century of data: A note (2019)
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