| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 96 === During the past three decades, nonlinear dynamics system, such as Chaos theory, has captured much attention from economists and financial academics. The nonlinear dynamics system is popular mainly because of its great explanatory power of dramatic movement in financial markets. There have been abundant academic researches focusing on the fluctuations of the financial markets since 1980’s. The well-known illustration is that the financial market is dominated by “Deterministic chaos’’.
As the Baltic Dry Index (BDI) made a breakthrough of ten thousand points and hits the historical height, the BDI was also attracted much attention by the academics. This study attempts to utilize the Brock, Dechert and Scheinkman (BDS) test, Rescaled Range (R/S) analysis, and correlation dimension method to examine whether the BDI has chaotic phenomenon or not.
The empirical results indicate that BDI has chaotic phenomenon, the underlying data of the BDI is fractal, characterized as long memory processes and deterministic chaos, suggesting that the conventional linear methods failed to analyze the BDI. This work results also finds showed that the R/S analysis is a robust method even under the circumstance of noise, which confirms with the finding of Peters (1994).
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