The Fractal Nature Of The Johannesburg Stock Exchange

Artwell Chimanga and Chipo Mlambo

The African Finance Journal, 2014, vol. 16, issue 1, 39-56

Abstract: 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.

JEL-codes: D40 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:16:y:2014:i:1:p:39-56

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