1 AIT Asian Institute of Technology

An empirical study of chaotic dynamical behavior : the case of Thailand's stock market

AuthorSuchai Sutapak
Call NumberAIT RSPR no. SM-99-80
Subject(s)Stock exchanges--Thailand

NoteA research study submitted in partial fulfillment of the requirements for the degree of Master of Business Administration
PublisherAsian Institute of Technology
AbstractOwing to the insufficiency in explaining the behavior of financial assets of finance theories based on the Efficient Market Hypothesis (EMH), including evidences in a number of financial markets, there are new approaches to cope with this problem. In recent years, a new approach for doing this job is based on nonlinear system-particularly the Chaos theory. It is believed that this theory suits the financial assets' behavior better because of the feedback system, which is the most important characteristic of nonlinear system. The feedback system is a set of interconnected systems, or put simply, its outputs become its inputs in the next state. It is believed so because there are evidences indicating that markets do have memory- what happened yesterday influences what happen today and even tomorrow. This is in line with the feedback system. In United States, to find out whether the financial markets are linear according to the EMH or nonlinear, especially chaotic, according to the Chaos theory, there are many empirical studies. These studies covered stock, commodity and money markets, and indicated that some markets are linear whereas some are not. In this study, to indicate whether the stock market of Thailand is linear, we employed similar methodologies. We used both the returns and index numbers of the SET Index. Also, we used three frequencies of the SET Index-monthly, weekly and daily. In the study, we found that the SET Index is chaotic. It implies that any attempt, based on the EMH, to explain and/or predict the SET Index's behavior may not be appropriate. The study also stated that the lower bound or the minimum dynamical variable in explaining the SET Index's behavior is two, but did not indicate that what are those two variables. However, some characteristics of the SET Index, such as the duration of cycle and the Lyapunov exponent, still are inconclusive in the study.
Year1999
TypeResearch Study Project Report (RSPR)
SchoolSchool of Management
DepartmentOther Field of Studies (No Department)
Academic Program/FoSMaster of Business Administration (MBA) (Publication code=SM)
Chairperson(s)Gupta, Jyoti P.;
Examination Committee(s)Igel, Barbara;Do, Ba Khang;
Scholarship Donor(s)Partial Asian Institute of Technology Scholarship;
DegreeResearch Studies Project Report (M.B.A.) - Asian Institute of Technology, 1999


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