EVIDENCE ON DETERMINISTIC CHAOS IN TSE-300 MONTHLY AND DAILY DATA

This study provides one of the first investigations of deterministic chaos for Canadian securities data; specifically, value-weighted monthly TSE-300 index prices and daily total returns over the period January 1977 through December 1991. We applied two well-known methods for detecting deterministic chaos, the Grassberger and Procaccia method (Grassberger & Procaccia, 1983), and the BDS statistic (Brock, Dechert, & Scheinkman, 1987). The results suggest that the monthly prices are chaotic. Little evidence of deterministic chaos, however, appears to be present in the daily returns. We offer use of inappropriate lags as a possible explanation of the conflicting results in previous studies.