n African Finance Journal - The fractal nature of the Johannesburg Stock Exchange




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.


Article metrics loading...

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error