Fractal Structure Analysis in the Indian Stock Market

Selvam, Murugesan; Jayapal, Gayathri; Saranya, G.

doi:10.2139/ssrn.1885030

Cited by 4 publications

(3 citation statements)

References 7 publications

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“…Authors like Barkoulas et al, 2000; Cajuerio and Tabak (2005, 2008), Danilenko (2009), Henry (2002); Kasman and Torun (2007), Selvam et al (2011) examined long-term memory using R/S Analysis by calculating the Hurst exponent. The returns showed the investors’ sentiment was strongly influenced.…”

Section: Discussionmentioning

confidence: 99%

“…The research study found that the short-term time series follow technical information and long-term time series follow fundamental information. A study on fractal analysis in the Indian stock market has been carried out by Selvam, Jayapal and Saranya (2011). The study investigated the fractal dimension in returns of the Sensex and found that the price series occasionally followed a random walk.…”

Section: Review Of Literaturementioning

confidence: 99%

Section: Review Of Literaturementioning

confidence: 99%

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Stock Market Reaction during the Global Financial Crisis in India: Fractal Analysis

Mahalingam

Selvam

2014

Asia-Pacific Journal of Management Research and Innovation

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The Bombay Stock Exchange is the most popular and also the oldest stock exchange in Asia. It has the major number of listed companies in the world. In September 2008, the Sensex experienced huge falls, along with other markets around the world. Financial markets have become ever larger and financial crises have become more threatening to society. The devastating consequences of these crises stimulated the development of methods for predicting financial turmoil. New approaches to stock market prediction are considered on the basis of the intensity of stock index fluctuations estimated by fractal analysis techniques. Fractal analysis is used to analyse the financial time series. This article examined the fractal dimension in S&P BSE Sensex for pre- and post-recession periods—2004–2008 and 2008–2012 respectively.

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Section: Discussionmentioning

confidence: 99%

Section: Review Of Literaturementioning

confidence: 99%

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Stock Market Reaction during the Global Financial Crisis in India: Fractal Analysis

Mahalingam

Selvam

2014

Asia-Pacific Journal of Management Research and Innovation

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Türki̇ye’deki̇ Bankalarin Hi̇sse Senedi̇ Geti̇ri̇leri̇nde Fraktal Pi̇yasa Hi̇potezi̇ni̇n Testi̇

Karakaya

Atukalp

2022

Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Bankalarda volatilite yapısının modellenmesiyle, bankaların yanında ekonominin genelini ilgilendiren risk ve belirsizliklerin karakteristik yapısı ortaya konulmaktadır. Bu çalışmada, Türkiye’deki bankaların hisse senedi getirilerindeki volatilitenin tahmin edilmesi amaçlanmıştır. Çalışmanın inceleme dönemi 5 Ocak 2010 - 31 Aralık 2020’dir. Ding, Granger ve Engle (1993) tarafından önerilen doğrusal olmayan asimetrik koşullu volatilite analiz yöntemiyle (APGARCH) bankaların hisse senetlerinin getiri volatilitesi tahmin edilmiştir. Çalışmada öncelikle getirilerin durağanlığı, ARCH etkisi, asimetri yapısı ve doğrusallık özellikleri test edilmiştir. Ardından, APGARCH modeliyle, bankaların getiri volatilitesindeki şokun yüksek kalıcılığa sahip olduğu, asimetri etkisinin bulunduğu ve uzun dönem hafıza özelliğinin olduğu ortaya konmuştur. Bulgular, Türkiye’deki bankaların hisse senedi getiri volatilitesinde Etkin Piyasalar Hipotezi’nin yerine Fraktal Piyasa Hipotezi’nin varlığını destekleyici niteliktedir. Buna göre hisse senedi fiyatlarında bağımlılık tespit edilmiştir. Dolayısıyla, yatırımcıların teknik analiz varsayımlarını dikkate aldıkları söylenebilir.

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Fractal Analysis in the Indian Stock Market with Special Reference to CNX 500 Index Returns

Mahalingam

Selvam

2013

SSRN Journal

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Fractal Structure Analysis in the Indian Stock Market

Cited by 4 publications

References 7 publications

Stock Market Reaction during the Global Financial Crisis in India: Fractal Analysis

Stock Market Reaction during the Global Financial Crisis in India: Fractal Analysis

Türki̇ye’deki̇ Bankalarin Hi̇sse Senedi̇ Geti̇ri̇leri̇nde Fraktal Pi̇yasa Hi̇potezi̇ni̇n Testi̇

Fractal Analysis in the Indian Stock Market with Special Reference to CNX 500 Index Returns

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