Non-Linearity Behaviour of the ALBI Index: A Case of Johannesburg Stock Exchange in South Africa

Authors

  • Priviledge Cheteni

Abstract

Since the global financial crisis that crippled the world’s financial markets in 2007, interest in nonlinear dynamics in form of deterministic chaos has increased. Hence, the main purpose of this study is to detect if whether stock returns exhibit nonlinear and chaotic tendencies. By using recent statistical tools to overcome some of the limitations faced in financial data. This study aims to detect low deterministic chaos in the Johannesburg Stock Market in South Africa. Using the powerful BDS test, LM test and Variance Ratio Test, the empirical results suggest that the ALBI index exhibit nonlinear tendencies and chaotic behaviour.

DOI: 10.5901/mjss.2014.v5n9p183

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Published

2014-05-01

How to Cite

Cheteni, P. (2014). Non-Linearity Behaviour of the ALBI Index: A Case of Johannesburg Stock Exchange in South Africa. Mediterranean Journal of Social Sciences, 5(9), 183. Retrieved from https://www.richtmann.org/journal/index.php/mjss/article/view/2627

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Articles