eprintid: 11383
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/01/13/83
datestamp: 2023-11-10 03:25:54
lastmod: 2023-11-10 03:25:54
status_changed: 2023-11-10 01:15:08
type: conference_item
metadata_visibility: show
creators_name: Sapini, M.L.
creators_name: Aris, M.N.M.
creators_name: Robangi, A.A.
creators_name: Zulkanain, N.N.
creators_name: Yusof, N.M.
title: The existence of chaos in stock market price: An investigation using BDS test and close returns test
ispublished: pub
note: cited By 0; Conference of 4th Innovation and Analytics Conference and Exhibition, IACE 2019 ; Conference Date: 25 March 2019 Through 28 March 2019; Conference Code:150892
abstract: This project is focused on existing of chaos in stock market price. Stock market price is frequently changing in a particular time period. The pattern of stock market price is hard to predict as it is complex and exhibit nonlinear behavior. Due to insufficient chaotic findings for local company in Malaysia, existence of chaos in stock market price of Gamuda Berhad is determined in this project. There are two tests involved in this project which BDS Test and Close Returns Test are mainly used in this project for examining chaos in the stock market price. As for the result, BDS Test results show the rejection of the null hypothesis which means stock market price of Gamuda Berhad is not independent and identically distributed (IID) and Close Returns Test shows the non-chaotic behavior for the data. Therefore, the stock market price of Gamuda Berhad has non-chaotic nonlinearity behavior. © 2019 Author(s).
date: 2019
publisher: American Institute of Physics Inc.
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85071641361&doi=10.1063%2f1.5121073&partnerID=40&md5=c8e56b1d8d191eda813e69eb7016e56f
id_number: 10.1063/1.5121073
full_text_status: none
publication: AIP Conference Proceedings
volume: 2138
refereed: TRUE
isbn: 9780735418813
issn: 0094243X
citation:   Sapini, M.L. and Aris, M.N.M. and Robangi, A.A. and Zulkanain, N.N. and Yusof, N.M.  (2019) The existence of chaos in stock market price: An investigation using BDS test and close returns test.  In: UNSPECIFIED.