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- Title
FRACTAL MARKET HYPOTHESIS: THE EMERGENT FINANCIAL MARKETS CASE.
- Authors
BARNA, Flavia; DIMA, Ştefana Maria; DIMA, Bogdan; LucianPAŞCA
- Abstract
The Efficient Market Hypothesis (EMH) is a long-stand frame in the analysis of the financial markets behaviour. Still, recent evidences point toward the limits of such as approach. Several alternative approaches have been proposed. Among them, Fractal Market Hypothesis (FMH) might provide interesting explanations for various types of market imperfections such as 'fat tail' effects, stochastic volatility and self-similarity. Based on this conceptual background, the aim of this study is twofold: 1) to directly address the issue of fractal dimension estimation by discussing some estimators which are more frequently used in literature and, respectively, 2) to provide empirical evidences for the potential fractal properties from nine important emergent markets. We find that emergent markets from Europe and Asia are closer to the 'non-persistence' status while Latin America markets exhibits more significant signs of local persistence. However, the current financial turmoil led to some changes in the time profile of the considered markets.
- Subjects
EFFICIENT market theory; FINANCIAL markets; CORPORATE finance; FRACTAL analysis; PERSISTENCE (Economics)
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2016, Vol 50, Issue 2, p137
- ISSN
0424-267X
- Publication type
Article