Applying non-linear dynamics in the Singapore stock market using Chaos theory

Applying non-linear dynamics in the Singapore stock market using Chaos theory

The question of whether the Stock Exchange of Singapore (SES) is weak-form efficient under the Efficient Market Hypothesis (EMH) has been a topic of much debate. Although various tests have been conducted to verify its efficiency, they have yielded inconclusive and mixed results. The problem may lie...

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Main Authors: Foo, Onn Siew, Koh, Tee Chin, Lee, Jia Yen
Other Authors: Nanyang Business School
Format: Final Year Project
Language:English
Published: 2014
Subjects:
DRNTU::Business
Online Access:http://hdl.handle.net/10356/59684
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-596842023-05-19T06:09:02Z Applying non-linear dynamics in the Singapore stock market using Chaos theory Foo, Onn Siew Koh, Tee Chin Lee, Jia Yen Nanyang Business School Jesse Seegmiller DRNTU::Business The question of whether the Stock Exchange of Singapore (SES) is weak-form efficient under the Efficient Market Hypothesis (EMH) has been a topic of much debate. Although various tests have been conducted to verify its efficiency, they have yielded inconclusive and mixed results. The problem may lie in the fault of the models used and their simplifying assumptions. All the current tests for weak form efficiency are based on the linear model, which we will show may be invalid to be used for analysing the capital markets, since capital markets are non-linear in nature. BUSINESS 2014-05-12T03:15:19Z 2014-05-12T03:15:19Z 1995 1995 Final Year Project (FYP) http://hdl.handle.net/10356/59684 en Nanyang Technological University 90 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business
spellingShingle DRNTU::Business
Foo, Onn Siew
Koh, Tee Chin
Lee, Jia Yen
Applying non-linear dynamics in the Singapore stock market using Chaos theory
description The question of whether the Stock Exchange of Singapore (SES) is weak-form efficient under the Efficient Market Hypothesis (EMH) has been a topic of much debate. Although various tests have been conducted to verify its efficiency, they have yielded inconclusive and mixed results. The problem may lie in the fault of the models used and their simplifying assumptions. All the current tests for weak form efficiency are based on the linear model, which we will show may be invalid to be used for analysing the capital markets, since capital markets are non-linear in nature.
author2 Nanyang Business School
author_facet Nanyang Business School
Foo, Onn Siew
Koh, Tee Chin
Lee, Jia Yen
format Final Year Project
author Foo, Onn Siew
Koh, Tee Chin
Lee, Jia Yen
author_sort Foo, Onn Siew
title Applying non-linear dynamics in the Singapore stock market using Chaos theory
title_short Applying non-linear dynamics in the Singapore stock market using Chaos theory
title_full Applying non-linear dynamics in the Singapore stock market using Chaos theory
title_fullStr Applying non-linear dynamics in the Singapore stock market using Chaos theory
title_full_unstemmed Applying non-linear dynamics in the Singapore stock market using Chaos theory
title_sort applying non-linear dynamics in the singapore stock market using chaos theory
publishDate 2014
url http://hdl.handle.net/10356/59684
_version_ 1770564952863539200

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