Chaotic behavior in Malaysian stock market: A study with recurrence quantification analysis

Betty Voon Wan Niu, Mohd Salmi Md Noorani, Saiful Hafizah Jaaman

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The dynamics of stock market has been questioned for decades. Its behavior appeared random yet some found it behaves as chaos. Up to 5000 daily adjusted closing data of FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLSE) was investigated through recurrence plot and recurrence quantification analysis. Results were compared between stochastic system, chaotic system and deterministic system. Results show that KLSE daily adjusted closing data behaves chaotically.

Original languageEnglish
Title of host publication2016 UKM FST Postgraduate Colloquium
Subtitle of host publicationProceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium
EditorsKhairiah Hj. Basri, Mohd Salmi Md Noorani, Wan Zuhairi Wan Yaacob, Mohd Firdaus Mohd Yusoff, Nurul Huda Abd Karim, Mohammad Hafizuddin Hj. Jumali, Nazlina Ibrahim, Muzzneena Ahmad Mustapha, Zalita Zainuddin, Nurulkamal Masseran, Mahanem Mat Nor, Zahari Ibarahim, Noor Hayati Ahmad Rasol, Che Radziah Che Mohd Zain, Lim Seng Joe, Kamarulzaman Ibrahim, Norhayati Ahmad, Norlida Mat Daud, Syahida Che Dzul-Kifli
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735414464
DOIs
Publication statusPublished - 17 Nov 2016
Event2016 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2016 - Selangor, Malaysia
Duration: 13 Apr 201614 Apr 2016

Publication series

NameAIP Conference Proceedings
Volume1784
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Other

Other2016 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2016
CountryMalaysia
CitySelangor
Period13/04/1614/04/16

    Fingerprint

All Science Journal Classification (ASJC) codes

  • Physics and Astronomy(all)

Cite this

Niu, B. V. W., Noorani, M. S. M., & Jaaman, S. H. (2016). Chaotic behavior in Malaysian stock market: A study with recurrence quantification analysis. In K. H. Basri, M. S. M. Noorani, W. Z. W. Yaacob, M. F. M. Yusoff, N. H. A. Karim, M. H. H. Jumali, N. Ibrahim, M. A. Mustapha, Z. Zainuddin, N. Masseran, M. M. Nor, Z. Ibarahim, N. H. A. Rasol, C. R. C. M. Zain, L. S. Joe, K. Ibrahim, N. Ahmad, N. M. Daud, ... S. C. Dzul-Kifli (Eds.), 2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium [050013] (AIP Conference Proceedings; Vol. 1784). American Institute of Physics Inc.. https://doi.org/10.1063/1.4966832