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- Title
STUDY ON THE NONLINEAR AND CHAOTIC BEHAVIOR OF EXCHANGE-TRADED FUNDS LISTED IN HONG KONG STOCK EXCHANGES.
- Authors
Chu, Patrick Kuok-Kun
- Abstract
This study examines the nonlinearity and chaotic behavior of the time series of returns of two exchange-traded funds (ETFs) listed in Hong Kong stock exchanges, namely Hong Kong Tracker Fund (HKTF) and iShares FTSE A50 (ISFT), and the adequacy of autoregressive-generalized autoregressive conditional heteroskedasticity (AR-GARCH) models to capture nonlinearity. A set of nonlinearity tests consistently indicate the presence of nonlinearity in both return time series and the Brock--Dechert--Scheinkman (BDS) test of nonlinearity on AR-GARCH residuals, and the inability of AR-GARCH models to capture the nonlinearity in the return series at different stages of the model-building process. Testing for chaos is a rather delicate part in this study and is done by estimating the correlation dimension for both ETFs' return series. The correlation dimension saturates at a finite value, and the saturation indicates the presence of chaos in two ETFs considered for this study.
- Subjects
HONG Kong (China); EXCHANGE traded funds; STOCK exchanges; STOCK Exchange of Hong Kong Ltd.; TIME series analysis; BEHAVIOR
- Publication
Journal of Prediction Markets, 2019, Vol 13, Issue 2, p45
- ISSN
1750-6751
- Publication type
Article