The existence of chaos in stock market price: An investigation using BDS test and close returns test

THE 4TH INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION (IACE 2019) Pub Date : 2019-08-21 DOI:10.1063/1.5121073

M. L. Sapini, Muhammad Naeim Mohd Aris, Ain Amirah Robangi, Nor Najiha Zulkanain, N. M. Yusof

{"title":"The existence of chaos in stock market price: An investigation using BDS test and close returns test","authors":"M. L. Sapini, Muhammad Naeim Mohd Aris, Ain Amirah Robangi, Nor Najiha Zulkanain, N. M. Yusof","doi":"10.1063/1.5121073","DOIUrl":null,"url":null,"abstract":"This project is focused on existing of chaos in stock market price. Stock market price is frequently changing in a particular time period. The pattern of stock market price is hard to predict as it is complex and exhibit nonlinear behavior. Due to insufficient chaotic findings for local company in Malaysia, existence of chaos in stock market price of Gamuda Berhad is determined in this project. There are two tests involved in this project which BDS Test and Close Returns Test are mainly used in this project for examining chaos in the stock market price. As for the result, BDS Test results show the rejection of the null hypothesis which means stock market price of Gamuda Berhad is not independent and identically distributed (IID) and Close Returns Test shows the non-chaotic behavior for the data. Therefore, the stock market price of Gamuda Berhad has non-chaotic nonlinearity behavior.This project is focused on existing of chaos in stock market price. Stock market price is frequently changing in a particular time period. The pattern of stock market price is hard to predict as it is complex and exhibit nonlinear behavior. Due to insufficient chaotic findings for local company in Malaysia, existence of chaos in stock market price of Gamuda Berhad is determined in this project. There are two tests involved in this project which BDS Test and Close Returns Test are mainly used in this project for examining chaos in the stock market price. As for the result, BDS Test results show the rejection of the null hypothesis which means stock market price of Gamuda Berhad is not independent and identically distributed (IID) and Close Returns Test shows the non-chaotic behavior for the data. Therefore, the stock market price of Gamuda Berhad has non-chaotic nonlinearity behavior.","PeriodicalId":325925,"journal":{"name":"THE 4TH INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION (IACE 2019)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"THE 4TH INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION (IACE 2019)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1063/1.5121073","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

Abstract

This project is focused on existing of chaos in stock market price. Stock market price is frequently changing in a particular time period. The pattern of stock market price is hard to predict as it is complex and exhibit nonlinear behavior. Due to insufficient chaotic findings for local company in Malaysia, existence of chaos in stock market price of Gamuda Berhad is determined in this project. There are two tests involved in this project which BDS Test and Close Returns Test are mainly used in this project for examining chaos in the stock market price. As for the result, BDS Test results show the rejection of the null hypothesis which means stock market price of Gamuda Berhad is not independent and identically distributed (IID) and Close Returns Test shows the non-chaotic behavior for the data. Therefore, the stock market price of Gamuda Berhad has non-chaotic nonlinearity behavior.This project is focused on existing of chaos in stock market price. Stock market price is frequently changing in a particular time period. The pattern of stock market price is hard to predict as it is complex and exhibit nonlinear behavior. Due to insufficient chaotic findings for local company in Malaysia, existence of chaos in stock market price of Gamuda Berhad is determined in this project. There are two tests involved in this project which BDS Test and Close Returns Test are mainly used in this project for examining chaos in the stock market price. As for the result, BDS Test results show the rejection of the null hypothesis which means stock market price of Gamuda Berhad is not independent and identically distributed (IID) and Close Returns Test shows the non-chaotic behavior for the data. Therefore, the stock market price of Gamuda Berhad has non-chaotic nonlinearity behavior.

查看原文本刊更多论文

股票市场价格是否存在混沌:基于BDS检验和闭合收益检验的研究

本课题主要研究股票市场价格存在的混乱现象。股票市场价格在特定时期内经常变化。股票市场价格模式复杂且表现出非线性特征，难以预测。由于对马来西亚本地公司的混沌研究不足，本项目确定了甘慕达股份公司股票市场价格存在混沌。本项目涉及两个测试，其中BDS测试和Close Returns测试在本项目中主要用于检查股票市场价格的混乱。对于结果，BDS检验结果表明原假设被拒绝，即Gamuda Berhad的股票市场价格不是独立同分布(IID)， Close Returns检验表明数据具有非混沌行为。因此，Gamuda Berhad的股票市场价格具有非混沌非线性行为。本课题主要研究股票市场价格存在的混乱现象。股票市场价格在特定时期内经常变化。股票市场价格模式复杂且表现出非线性特征，难以预测。由于对马来西亚本地公司的混沌研究不足，本项目确定了甘慕达股份公司股票市场价格存在混沌。本项目涉及两个测试，其中BDS测试和Close Returns测试在本项目中主要用于检查股票市场价格的混乱。对于结果，BDS检验结果表明原假设被拒绝，即Gamuda Berhad的股票市场价格不是独立同分布(IID)， Close Returns检验表明数据具有非混沌行为。因此，Gamuda Berhad的股票市场价格具有非混沌非线性行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

THE 4TH INNOVATION AND ANALYTICS CONFERENCE & EXHIBITION (IACE 2019)

自引率

0.00%

发文量