Time-varying self-similarity in alternative investments

Salim Lahmiri and Stelios Bekiros

Chaos, Solitons & Fractals, 2018, vol. 111, issue C, 1-5

Abstract: A rolling-window based approach is adopted in the current work to gauge time evolution of long-range dependence in a large set of various alternative (nonconventional) markets including Islamic, sustainability, ecology, and ethical equity markets. The approach allows conveying important information about the dynamics of long-range dependence in such contemporary and trendy alternative investments. The study shows that all investigated “alternative” markets exhibit persistence/anti-persistence dynamics, except two which reveal pure random behaviour. Roughly half of the Islamic markets and all ecological markets demonstrate persistent dynamic behaviour. On the contrary, all sustainable and most of the ethical alternative markets show increased anti-persistence. The persistence/anti-persistence patterns observed are cyclical, namely they are clustered over time. Finally, the distributions of estimated Hurst exponents are statistically different within Islamic and non-Islamic alternative markets.

Keywords: Market efficiency; Islamic markets; Sustainability markets; Ecology markets; Ethical markets; Dynamic Hurst exponent (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:111:y:2018:i:c:p:1-5

DOI: 10.1016/j.chaos.2018.04.004

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