Mencari Kewujudan Gelagat Kekalutan Siri Masa: Satu Analisis Awal terhadap Gelagat Kadar Faedah antara Bank

Fakulti Teknologi dan Sains Maklumat
Universiti Kebangsaan Malaysia
43600 UKM Bangi
Selangor Darul Ehsan


Fakulti Teknologi dan Sains Maklumat
Universiti Kebangsaan Malaysia
43600 UKM Bangi
Selangor Darul Ehsan


Fakulti Teknologi Maklumat dan Sains Kuantitatif
Universiti Teknologi MARA
40450 Shah Alam
Selangor Darul Ehsan


Abstract

Chaos has been used to explain dynamic behaviours of physical systems. Lately, research on chaos has spread to financial systems. This paper attempts to find the existence of chaotic behaviour in interest rate movement in the money market. The chaotic behaviour is tested by applying the R/S analysis on two money market rates, i.e. the overnight money and the 3-month money. The results of the R/S analysis indicated that both rates showed a non-random behaviour. The overnight money show the inclination towards anti-persistent behaviour and the 3-month money show the inclination towards persistent behaviour These findings are useful for the development of a model to predict the movement of interest rate.

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Citation

Yusof, M. Y., Tengku Sembok, T. M., & Md. Noor, N. L. (1999). Mencari Kewujudan Gelagat Kekalutan Siri Masa: Satu Analisis Awal terhadap Gelagat Kadar Faedah antara Bank. Jurnal Pengurusan, 18, 131–147.

@article{yusof1999mencari,
  title={Mencari Kewujudan Gelagat Kekalutan Siri Masa: Satu Analisis Awal terhadap Gelagat Kadar Faedah antara Bank},
  author={Yusof, Mohamad and Tengku Sembok, Tengku Mohamad and Md. Noor, Nor Laila},
  journal={Jurnal Pengurusan},
 

volume={18},
  number={},
  pages={131—147},
  year={1999},
  doi={},
  publisher={Penerbit UKM},
}

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18 (1999) 131 – 147

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