Emerging Market Equity Prices and Chaos: Evidence from Indonesia and Malaysia

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					INTERNATIONAL JOURNAL OF BUSINESS, 13(3), 2008                            ISSN: 1083−4346



         Emerging Market Equity Prices and Chaos:
          Evidence from Indonesia and Malaysia

     Bahram Adrangia, Arjun Chatrathb, Ravindra Kamathc, and
                        Kambiz Raffieed
            a
               Pamplin School of Business Administration, University of Portland,
                 
				
DOCUMENT INFO
Description: We test for the presence of low-dimensional chaotic structure in the Stock Exchanges of Indonesia and Malaysia. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes generally explain the nonlinearities in the data. We also show that employing seasonally adjusted index series contributes to obtaining robust results via some of the existing tests for chaotic structures. [PUBLICATION ABSTRACT]
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