Indian Journal of Finance
By: Associated Management Consultants (P) Ltd.Single Issue
Single Issue
- IJF-Aug08-Article1-Stochastic Dependence in Indian Capital Markets: a Fractal Analysis of the CNX Information Technology Index
- Price : 80.00
- Published on August 1, 2008
- Associated Management Consultants (P) Ltd.
- Issues 356
- Language - English
- Published daily
About this issue
This paper examines the CNX information technology index for stochastic dependence with Lo's modified rescaled-range technique. Next, five self-affine fractal analysis techniques are used for estimating the Hurst exponent, Mandelbrot-Lévy characteristic exponent, and fractal dimension. Techniques employed are rescaled-range analysis, power-spectral density analysis, roughness-length analysis, the variogram or structure function method, and wavelet analysis. Evidence against efficient valuation supports the multifractal model of asset returns (MMAR) and disconfirms the weak form of the efficient market hypothesis (EMH). Strong evidence is presented for antipersistence of this index, suggesting capital markets do not price technology securities efficiently.
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.