Chaotic Test and Non-Linearity of Abnormal Stock Returns: Selecting an Optimal Chaos Model in Explaining Abnormal Stock Returns around the Release Date of Annual Financial Statements


  • Alireza Mehrazeen Department of Accounting, Neyshabur Branch , Islamic Azad University, Neyshabur, Iran

For many investors, it is important to predict the future trend of abnormal stock returns. Thus, in this research, the abnormal stock returns of the listed companies in Tehran Stock Exchange were tested since 2008- 2017 using three hypotheses. The first and second hypotheses examined the non-linearity and non-randomness of the abnormal stock returns ′ trend around the release date of annual financial statements, respectively. While, the third hypothesis tested the potential of the chaos model in explaining future abnormal returns based on the past abnormal returns around the release date of the annual financial statements. For this pur-pose, BDS, Teraesvirta Neural Network, and White Neural Network tests were used to investigate its non-linearity. In addition, Lyapunov exponent, correlation dimension, Dickey-Fuller, and Hurst exponent tests were used for testing non-randomness and the fitness of AR, SETAR, and LSTAR models to determine the optimal model in explaining the abnormal returns utilizing R software. Results of these tests represented a non-linear and non-random process and chaos in the abnormal stock returns, implying the predictability of abnormal stock returns. Also, among three used chaos models, the LSTAR model had lower error and more predictability than the other two models.

برای دانلود باید عضویت طلایی داشته باشید

برای دسترسی به متن کامل این مقاله و 10 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Relationship between quality of earning and abnormal stock return of companies accepted in Mumbai Stock Exchange

In this research, role of accruals in elaboration of quality of earning of the companies accepted in Mumbai Stock Exchange has been studied and relationship between quality of earning through accruals and its constituents and abnormal stock return has been studied. The studied sample includes 35 companies in group A of Mumbai Stock Exchange in 2009-2013.Fordata analysisandhypothesistesting mult...

متن کامل

Predicting Abnormal Stock Returns with a Nonparametric Nonlinear Method

Neural networks (NN) can be applied to the predication of stock market trends based on information from legal insider trading. These data are available because officers of companies are required by law to submit to the Securities Exchange Commission a record of the sales and purchases of their companies stock. Because purchases are more useful in this endeavor than are sales, all smallcap, midc...

متن کامل

Abnormal statistical properties of stock indexes during a financial crash

• Stock indexes have dual fractal structure which is consistent with previous studies. • The return distribution of emerging markets shows abnormal dual power-law exponents. • External shock of a crisis affects different markets at distinct stages. a b s t r a c t We investigate minute indexes of stock markets in 10 countries during financial crashes by dividing them into several stages accordi...

متن کامل

Instability and chaotic dynamics in stock returns

In this paper we examine certain properties of the Dow Jones and the Nikkey indices, investigating the existence of stochastic and deterministic non­ linear structures. Using the detrended fluctuation analysis, we construct a local measurement of randomness which identifies some extreme events and their im­ pact on the randomness of the systems. Our results suggest no evidence of chaos in the d...

متن کامل

Explaining Stock Returns: A Literature Survey

My objective in writing this survey is to provide an overview of the work that has been done in an important area of financial markets research—explaining the behavior of common stock returns. I have tried to make this survey as complete as possible, without getting bogged down in a lot of technical details. Since this area of research has been very active for the past several years, describing...

متن کامل

The Effects of Accruals and Cash Flow Anomalies on Net Profit and Abnormal Stock Returns in Accepted Companies in Tehran Securities Exchange

Reliability and efficacy of accruals and cash flows which are among the most important factors affecting dividend deviation have always been in question and subject to anomalies. The presence of these anomalies in accruals and cash flows and its effect on future returns and the consequences that they can have in country’s investments are the main motives to choose this issue for the current stu...

متن کامل

ذخیره در منابع من

ذخیره در منابع من ذخیره شده در منابع من

{@ msg_add @}

  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی راحت تر خواهید کرد

دانلود متن کامل

برای دسترسی به متن کامل این مقاله و 10 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره 6  شماره 2

صفحات  1- 23

تاریخ انتشار 2021-04-01

با دنبال کردن یک ژورنال هنگامی که شماره جدید این ژورنال منتشر می شود به شما از طریق ایمیل اطلاع داده می شود.

copyright © 2015-2021