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Original Articles

Chaotic Behavior in Prices of European Equity Markets:

A Comparative Analysis of Major Economic Regions

, &
Pages 5-24 | Published online: 05 Nov 2010
 

Abstract

Brock's Residual Test Theorem and the BDS statisticM test are the dynamic tools employed in this paper for analyzing international stock market data. Raw and delrended weekly returns and index levels for eleven International Indices (European, North- American, and from the Far East and Pacific region) are analyzed in a non-parametric fashion. By utilizing non-linearity tests adapted from chaos theory evidence is presented supporting integrated equity markets.

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