Investigation of the Chaotic Structure of Stock Exchanges of Fragile Five Countries

Chaotic data analysis has been used since the 1980s as a useful tool in describing and modeling the behavior of financial markets. In this study, it was aimed to examine the chaotic structure of the stock exchanges of Brazil, Indonesia, India, Turkey, and South Africa (BIITS), categorized as the emerging economies and called the Fragile Five by Morgan Stanley. For this purpose, the leading indexes of the Fragile Five countries were studied with the data set containing daily closing values for the period 2001-2015. The chaotic structure of the stock exchanges of the countries was determined using the correlation dimension proposed by Grassberger and Procaccia (1983), which is an important indicator of chaotic behavior, and the largest Lyapunov exponents calculated using the Kantz (1994) algorithm. According to the correlation dimension analysis, it was found that the stock exchanges of the Fragile Five have the same fractal dimension and according to the largest Lyapunov exponent values, all the countries were found to have a weak chaotic structure in general. The findings obtained as a result of the chaotic analysis support the fact that the studied countries are in the same group