Do global financial crises validate assertions of fractal market hypothesis?
Arif Dar,
Niyati Bhanja () and
Aviral Tiwari
International Economics and Economic Policy, 2017, vol. 14, issue 1, No 8, 153-165
Abstract:
Abstract The frequent occurrence of crises in recent decades has triggered a debate between the proponents of Efficient market hypothesis and Fractal market hypothesis. While, the proponents of Efficient market hypothesis view crises as non-existent and highly improbable, the advocates of Fractal market hypothesis view crises as the dominance of certain investment horizons. We test whether the assertion of Fractal Market hypothesis regarding the dominance of certain frequencies during financial crises hold for the global stock markets. Following Kristoufek (Sci Rep 3:2857, 2013) the wavelet power spectra based on continuous wavelet framework are used to test the said hypothesis. It is shown that stock markets around the globe indicate the dominance of higher frequencies during the crises periods, hence, validate the assertions of Fractal market hypothesis. The results drawn are robust to the use of different countries as well as different crises.
Keywords: Fractal market hypothesis; Crisis; Power spectrum; G01; G15; C58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)
Downloads: (external link)
http://link.springer.com/10.1007/s10368-015-0332-0 Abstract (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:kap:iecepo:v:14:y:2017:i:1:d:10.1007_s10368-015-0332-0
Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10368/PS2
DOI: 10.1007/s10368-015-0332-0
Access Statistics for this article
International Economics and Economic Policy is currently edited by Paul J.J. Welfens, Holger C. Wolf, Christian Pierdzioch and Christian Richter
More articles in International Economics and Economic Policy from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().