Nonlinear Noise Estimation in International Capital Markets

21 Pages Posted: 8 Jul 2015

See all articles by Costas Siriopoulos

Costas Siriopoulos

Zayed University, College of Business; University of Patras - Business Administration

Alexandros Leontitsis

University of Ioannina - Department of Education

Date Written: July 7, 2015

Abstract

We analyzed six stock exchange markets through the nonlinear dynamics concept. We used daily data from the Toronto Stock Exchange, NYSE, London Stock Exchange, Hong Kong Stock Market, Tokyo Stock Exchange, and the Singapore Stock Exchange. The period studied is from January 1, 1988 to June 30, 1999. We performed Local Principal Components Analysis in order to estimate the dimension of each underlying attractor. Our main interest is the noise level estimation of each time series. The results indicate weak determinism and strong noise influence. The noise-to-signal ratio for almost all time series is above 50%. Noise is leptokurtic in the eastern stock markets, and mesokurtic in western ones.

Keywords: chaos theory; local principal components analysis; noise estimation; nonlinear dynamics

JEL Classification: C22, G15

Suggested Citation

Siriopoulos, Costas and Leontitsis, Alexandros, Nonlinear Noise Estimation in International Capital Markets (July 7, 2015). Multinational Finance Journal, Vol. 6, No. 1, p. 43-63, 2002, Available at SSRN: https://ssrn.com/abstract=2627615

Costas Siriopoulos (Contact Author)

Zayed University, College of Business ( email )

P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of Patras - Business Administration ( email )

Patras
Greece

Alexandros Leontitsis

University of Ioannina - Department of Education ( email )

Campus Psathaki
Ioannina, Epirus 48100
Greece

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