PATRICK K. K. CHU
Issue 22 (Vol. 11 No. 2, pp. 5-28)
After the stock market crash of October 19, 1987, interest in nonlinear dynamics and chaotic dynamics, have increased in the field of financial analysis. The extent that the daily return data from the Shanghai Stock Exchange Index and the Shenzhen Stock Exchange Index exhibit nonlinearity and chaotic characteristics are investigated by employing various tests from chaos theory. The visual inspection techniques reveal that the underlying structures in the returns data are different from those in the random data and the existence of strange attractors. The BDS test provides evidence for nonlinearity. The estimated correlation dimensions provide evidence for deterministic chaotic behaviors.