6533b829fe1ef96bd12897de

RESEARCH PRODUCT

FRACTALITY EVIDENCE AND LONG-RANGE DEPENDENCE ON CAPITAL MARKETS: A HURST EXPONENT EVALUATION

Cristina TănăsescuCamelia Oprean

subject

Hurst exponentEfficient-market hypothesisApplied MathematicsModeling and SimulationDetrended fluctuation analysisEconomicsEconometricsMarket efficiencyGeometry and TopologyCapital marketStock (geology)Random walk hypothesisBRIC

description

Since the existence of market memory could implicate the rejection of the efficient market hypothesis, the aim of this paper is to find any evidence that selected emergent capital markets (eight European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) evince long-range dependence or the random walk hypothesis. In this paper, the Hurst exponent as calculated by R/S fractal analysis and Detrended Fluctuation Analysis is our measure of long-range dependence in the series. The results reinforce our previous findings and suggest that if stock returns present long-range dependence, the random walk hypothesis is not valid anymore and neither is the market efficiency hypothesis.

yearjournalcountryeditionlanguage
2014-11-12Fractals
https://doi.org/10.1142/s0218348x14500108