aAssistant Professor, Islamic Azad University, Kerman Branch, Iran
bDepartment of Public Administration, Ramhormoz Branch, Islamic Azad University, Ramhormoz, Iran
cDepartment of Accounting, Behbahan Branch, Islamic Azad University, Behbahan, Iran
*Corresponding Author
Online published on 20 February, 2014.
The accuracy and adequacy of economic forecasting models in the business world is strategic and critical. Many economists believe that the linear models for forecasting stock prices and indices are not efficient enough. So a lot of research on understanding the structure of economic time series and dynamic models are appropriate focus. Many economists believe that the linear models for forecasting stock prices and stock index are not efficient. So a lot of researches have focused on understanding the structure of economic time series and dynamic models. In the present study to investigate the effect of chaos theory on the Tehran Stock Exchange index, stock price index over a period of five years from the January 29, 2005 to January 30, 2010 is selected as statistical sample and a main hypothesis is considered including: Chaos theory has an impact on stock price index and the three sub-questions are: Stock price index has consecutive structure. Stock price index has a nonlinear structure. Stock price index has chaos structure. Hurst view test, correlation dimension and Lyapunov view are used for processing data. The results show that the stock price index has consecutive, nonlinear and chaotic structure, so the theory of chaos has impact on stock price index of Tehran Stock Exchange.
Economic forecasting models, chaos theory, Consecutive structure, non-linear structure
