Please use this identifier to cite or link to this item:
http://dspace.lib.uom.gr/handle/2159/14798
Author: | Κουρτίδου, Ευγενία |
Title: | Dynamic analysis of the FTSE20, FTSE40 and FTSE80 returns series of the Athens Stock Exchange market. |
Date Issued: | 2012 |
Department: | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων |
Supervisor: | Κύρτσου, Κατερίνα |
Abstract: | During the past two decades academic researchers and economic analysts have been increasingly interested in the area of chaotic dynamics. In general it is widely accepted that financial markets are highly complex systems and both deterministic and stochastic descriptions are essential in order to identify main attributes of their dynamics. This paper examines the existence of a deterministic chaotic structure in the stock returns of the Athens Stock Exchange Market and in particular the FTSE20, FTSE 40 and FTSE 80 indeces. The overall result suggests that the returns series do not follow a random walk process. In order to test for chaos the diagnostic tools of correlation dimension and the Largest Lyapunov Exponent were calculated. The results reveal that there is weak but clear evidence of high-dimensional chaotic structure in the ASE high-frequency returns series. |
Keywords: | Dynamic analysis Athens Stock Exchange market |
Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2012. |
Appears in Collections: | ΔΠΜΣ Διοίκηση Επιχειρήσεων (M) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
KourtidouEugeniaMsc2012.pdf | 807.31 kB | Adobe PDF | View/Open |
Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.