Time-varying Hurst exponent for US stock markets

Jose Alvarez-Ramirez, Jesus Alvarez, Eduardo Rodriguez and Guillermo Fernandez-Anaya

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 24, 6159-6169

Abstract: In this work, the dynamical behavior of the US stock markets is characterized on the basis of the temporal variations of the Hurst exponent estimated with detrended fluctuation analysis (DFA) over moving windows for the historical Dow Jones (1928–2007) and the S&P-500 (1950–2007) daily indices. According to the results drawn: (i) the Hurst exponent displays an erratic dynamics with some episodes alternating low and high persistent behavior, (ii) the major breakthrough of the long-term trend of the scaling behavior occurred in 1972, at the end of the Bretton Woods system, when the Hurst exponent shifted form a positive to a negative long-term trend. Other effects, such as the 1987 crisis and the emergence of anti-correlated behavior in the recent two years, are also discussed.

Keywords: Econophysics; Detrended fluctuation analysis; Stock markets; Structural changes (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (101)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:24:p:6159-6169

DOI: 10.1016/j.physa.2008.06.056

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