A rescaled range analysis on the application of the chaos theory in the Philippine stock market pre- and post-global financial crisis
Researchers have questioned whether certain systems exhibit cycle, or whether a variable serves as an attractor to certain outcomes these are all ideas which encompass that of chaos. A chaotic behavior, measured by Hurst exponent, in the stock market signifies that there is an underlying pattern and...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2017
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9005 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Researchers have questioned whether certain systems exhibit cycle, or whether a variable serves as an attractor to certain outcomes these are all ideas which encompass that of chaos. A chaotic behavior, measured by Hurst exponent, in the stock market signifies that there is an underlying pattern and integration of a deterministic characteristic with regard to price movements in the market-deterministic in a sense that a certain output is acknowledged to be produced due to known initial conditions.
The paper aims to determine whether a longer time frame, specifically 8 years, exhibit the presence of a chaotic behavior, if the selected stocks exhibit a chaotic behavior after the global financial crisis and if a pattern exists within these stocks, and if the size of market capitalization influence the presence of chaotic behavior. The study made use of the methods rescaled range analysis and V-statistic to determine the presence of chaotic behavior and periodicity.
The results showed that the selected stocks exhibited the presence of a chaotic behavior represented by their respective Hurst exponents being greater than or less than 0.5 but not equal to 0.5. As for the V-statistics, after the results were plotted and graphed, it can be determined that a pattern does exist within some of the selected stocks. As for the market capitalization, the results were inconclusive since there is not much difference between the Hurst exponents of the top five from the bottom five of the period under observation. |
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