The behaviour of some UK equity indices: An application of Hurst and BDS tests

Opong, Kwaku K.; Mulholland, G. Keith; Fox, Alan F.; Farahmand, Kambiz

doi:10.1016/s0927-5398(99)00004-3

Cited by 114 publications

(50 citation statements)

References 20 publications

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“…The indexes returns series in the Tunisian market are non-linear. This result is similar to that of Opong et al (1999) in the British market. Note that the nonlinearity is a necessary but not a sufficient condition for the existence of chaos.…”

Section: Bds Test (Brock Dechert Et Scheinekman 1996)supporting

confidence: 87%

Autosimilarty, Long Memory and Chaos: Evidence from the Tunisian Market

Limam¹

2017

BMS

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Fractal Finance came to the rescue of the classical models unable to explain financial anomalies and of linear models inadequate to characterize complex processes. The characterization of financial series is still topical. The calculation of the Hurst exponent, the fractal dimension, the Lyapunov exponent, the window of Theiler and the realization of the determinism test, have allowed us to understand the dynamics of the Tunisian indexes returns. Clearly, findings show that the returns are, on the one hand, nonlinear, follow alpha-stable laws, have a long memory and on the other hand, are not chaotic. Thus, the hypothesis of a Brownian fractal motion is privileged.

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Section: Bds Test (Brock Dechert Et Scheinekman 1996)supporting

confidence: 87%

Autosimilarty, Long Memory and Chaos: Evidence from the Tunisian Market

Limam¹

2017

BMS

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“…The increasing power of computers, coupled with advances in mathematical modeling techniques, have sparked a large volume of research into the re-examination of the behaviour of security returns. Among the studies have recently re-examined the behaviour of U.K. security prices using more sophisticated techniques include (Poon and Taylor, 1992;Wong, 1995, 1997;Opong et al, 1999;Belaire-Franch and Opong, 2003) and provide conclusions which differ from the earlier studies. criticised the traditional random walk tests and introduced a more robust volatility-based specification test.…”

Section: Previous Studiesmentioning

confidence: 99%

“…Studies conducted elsewhere using new modelling techniques have cast doubt on weak form market efficiency. A large number of recent studies have applied much more sophisticated techniques to examine the behaviour of financial series in recent times (see MacKinlay, 1988, 1989;Liu and He, 1991;Scheinkman and LeBaron, 1989;Hsieh, 1991;Willey, 1992;Poon and Taylor, 1992;Wong, 1995, 1997;Opong et al, 1999;Wright, 2000;Belaire-Franch, 2002;Belaire-Franch and Opong, 2002 among others).…”

Section: Introductionmentioning

confidence: 99%

A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs

Belaire‐Franch

Opong

2005

Rev Quant Finan Acc

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This study utilises tests based on ranks and signs suggested by Wright (2000) in addition to the traditional variance ratio test to examine the behaviour of some UK Financial Times Stock Exchange (FTSE) stock indices. The results suggest that the null hypothesis of martingale difference behaviour of the index returns series examined in the study is rejected. The use of the nonparametric based variance ratio tests provide stronger evidence against the martingale difference behaviour than the conventional variance ratio tests, under conditions of both homoskedasticity and heteroskedasticity for the examined series. Moreover, the application of Wright’s variance ratio tests in a rolling window framework, indicates that the results for the FTSE returns are consistent neither with a linear AR assumption nor with the white noise hypothesis. Copyright Springer Science + Business Media, Inc. 2005variance ratio, heteroskedasticity, ranks, signs, random walk, martingale difference,

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“…Through co-integration analysis it was found that these markets were unable to follow EMH (Azad, 2009). The market inefficiency was evidenced by Opong, Mulholland, Fox, and Farahmand (1999) for London Financial Times Stock Exchange for the period (1986)(1987)(1988)(1989)(1990)(1991)(1992)(1993)(1994)(1995)(1996)(1997) for all listed shares, and documented that the changes in the stock prices are not independently and identically distributed. Laopodis (2004) Aga and Kocaman (2008).…”

Section: Literature Reviewmentioning

confidence: 99%