Nonlinearity and Chaos Testing on South East Asia Countries Capital Markets: A Comparative Study from Indonesia, Philippine and Singapore Capital Market Indices
Minarnita Yanti Verawati Bakara
Universitas Mercu Buana
July 17, 2008
The 14th Euro-Asia Conference & the 3rd International Conference on Business and Management Research (ICBMR), 27th-29th August 2008
This research paper tries to detect the nonlinearity and chaos structure in the South East Asia Countries Capital Markets. The capital markets of three South East Asia Countries are chosen: Indonesia, Philippine, and Singapore. Daily return data of Capital Markets composite indices are observed: Straits Times Index (STI) of Singapore Exchange from December 06, 1985 to March 15, 2000, Pilipino Stock Exchange Index (PSEi) of Philippines Stock Exchange from March 1, 1990 to December 31, 2007 and Jakarta Composite Index (JCI) of Indonesia Stock Exchange from January 05, 1988 to December 31, 2007.
The results of each observation are compared to analyze the implications of each country in global, regional and local position of their competition in the continuously changing world of interdependency environment. The implications of chaos finding in the three ASEAN countries capital markets to the current issues of AFAS on Financial Services, Harmonization among ASEAN countries capital markets in the ASEAN region and ASEAN integration on Financial Services are analyzed.
BDS statistic, R/S Analysis, Correlation Dimension and Lyapunov Exponent as our tools for nonlinearity and chaos testing are applied.
Nonliterary evidence in Jakarta Composite Index, Pilipino Stock Exchange Index and Straits Times Index are found. Although only low dimensional chaos in Straits Times Index and Jakarta Composite Index are found the evidence of chaotic process is mostly confirmed through Lyapunov Exponent in all indexes rather than through Correlation Dimension.
Number of Pages in PDF File: 26
Keywords: Brock-Dechert-Scheinkman Statistic, Chaos Theory, Correlation Dimension, Embedding Dimension, Fractal, Hurst Exponent, Lyapunov Exponent, Deterministic Non Linear Dynamic System, Phase Space Reconstruction, Rescaled Range (R/S) Analysis
JEL Classification: G1, G2, C3, C4, C5, C6working papers series
Date posted: January 26, 2012
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