Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa

Since the global financial crisis that crippled the world’s financial markets in 2007, interest in nonlinear dynamics in form of deterministic chaos has increased. Hence, the main purpose of this study was to detect if whether stock returns exhibit nonlinear and chaotic tendencies. By using recent statistical tools to overcome some of the limitations faced in financial data. The study made use of the powerful BDS test, LM test and Variance Ratio Test. The empirical results suggest that the ALBI index exhibit nonlinear tendencies and chaotic behaviour