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- W3136134821 abstract "After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s." @default.
- W3136134821 created "2021-03-29" @default.
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- W3136134821 date "2021-03-25" @default.
- W3136134821 modified "2023-09-27" @default.
- W3136134821 title "Nonlinearities and Chaos: A New Analysis of CEE Stock Markets" @default.
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- W3136134821 doi "https://doi.org/10.3390/math9070707" @default.
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