Hurst exponent analysis in Turkish stock market

Necmi Gursakal, Zehra Berna Aydin, Sevda Gursakal and Selim Tuzunturk

International Journal of Sustainable Economy, 2009, vol. 1, issue 3, 255-269

Abstract: This study is about the application of Hurst exponent in an emerging financial market, the Istanbul stock exchange (ISE). The aim of this study was to find out whether ISE daily return series has long-term dependency and multifractality by using Hurst exponent analysis. Hurst values of daily return series in the period January 1994-December 2007 were computed with the sliding window method. The findings show that the return series has long-term dependency for the first period (1994-2004), but for the second period (2004-2007), the series loses its long-term dependency. This shift reminds us that the return series has multifractality.

Keywords: financial markets; Hurst exponent analysis; multifractality; sustainability; sustainable economy; emerging markets; Istanbul stock exchange; Turkey; daily return series; long-term dependency. (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijsuse:v:1:y:2009:i:3:p:255-269

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