n African Finance Journal - The fractal nature of the Johannesburg Stock Exchange
|Article Title||The fractal nature of the Johannesburg Stock Exchange|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Affiliations||1 University of Cape Town and 2 University of Cape Town|
|Publication Date||Jan 2014|
|Pages||39 - 56|
|Keyword(s)||D40, Fractal analysis, Hurst exponent, Long memory, Persistent, Rescaled Range and Selfsimilarity|
This paper examines the Johannesburg Stock Exchange indices using the fractal analysis technique for estimating the Hurst exponent. Evidence supporting a fractal nature in the market was found, implying a long-term predictability property for the overall market index. Our results also appear to indicate a logical system of variation of the Hurst exponent by firm size, market characteristic and sector grouping. We also found that there is more long-term predictability in emerging markets compared to developed markets. Resources, Non-Cyclical Services and Financials show the lowest average Hurst exponent values.
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