Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavi...

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Bibliographic Details
Published in:Mathematics (Basel) 2021-04, Vol.9 (7), p.707
Main Authors: Albulescu, Claudiu Tiberiu, Tiwari, Aviral Kumar, Kyophilavong, Phouphet
Format: Article
Language:English
Subjects:
CEE countries
chaos
Chaos theory
Efficiency
efficient market hypothesis
Efficient markets
Finance
Hypotheses
Investigations
Investments
Literature reviews
Mathematics
New stock market listings
nonlinearities
Nonlinearity
Prices
Questions
Securities markets
Stock exchanges
stock markets
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Summary:After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.
ISSN:2227-7390
2227-7390
DOI:10.3390/math9070707