Thread View: sfnet.tiede.nonlinear
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Started by Teppo Martikainen
Sat, 19 Dec 1992 11:28
ei-lineaarisuutta suomalaisilla osakemarkkinoilla
Author: Teppo Martikainen
Date: Sat, 19 Dec 1992 11:28
Date: Sat, 19 Dec 1992 11:28
34 lines
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2067 bytes
Kovinpa on hiljaista talla palstalla. Tiedoksi kuitenkin kasittaakseni ensimmainen suomalaisia taloudellisisia aikasarjoja kaaosmenetelmin tarkastellut tutkimus, joka on valmistunut Louisiana State Universityn ja Vaasan yliopiston yhteistyona. Tutkimusta saa allekirjoittaneelta. ---------------- NONLINEAR DEPENDENCE IN FINNISH STOCK RETURNS by G.G.Booth, T.Martikainen, S.Sarkar, I.Virtanen, P.Yli-Olli This paper extends the literature by using Grassberger-Procaccia correlation dimension to explore the nature of nonlinear dynamics in daily Finnish stock returns for the 1970s and 1980s. Nonlinear behavior in both periods is evident. A simple GARCH (generalized autoregressive conditional heteroskedasticity) model removes the nonlinearity in the first period and dramatically reduces the nonlinearity in the second period. This supports the notion that Finnish stock returns exhibit nonlinear dependence but that the form of dependence is not chaotic. Our results support the earlier findings on German data and some results from the U.S. markets as well. The paper was presented in the Joint International Meeting of the European Operational Research Society and The Institute of Management Science in Helsinki, Finland in 1992. It has been accepted for publication in The European Journal of Operational Research. -- --------------------------------------------------------------------------- Teppo Martikainen, Associate Professor, Accounting and Business Finance School of Business Studies, University of Vaasa, P.O. Box 297, SF-65101 Vaasa, Finland, Please note that these are my own opinions only.
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