Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-July10-Article1-A Fractal Analysis of Market Efficiency For Indian Technology Equities
- Price : 80.00
- Published on July 1, 2010
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
This paper employs five alternative methods for estimating Hurst exponent (1951), fractal dimension, and Mandelbrot-Lévy characteristic exponent (Lévy 1925) to examine the fractal character of three information technology equities, Satyam, Tata Consultancy Services, and Infosys. Fractal structure or long memory in equity prices indicate that traditional statistical and econometric methods are inadequate for analyzing security markets. Findings support the weak form of the efficient market hypothesis (EMH), and the more general multi-fractal model of asset returns (MMAR) of Mandelbrot, Fisher, and Calvet (1997).
About Indian Journal of Finance
Indian Journal of Finance, a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a monthly journal with topics ranging from corporate to personal finance, insurance to financial economics and derivatives.