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The Fractal Nature Of The Johannesburg Stock Exchange

Author

Listed:
  • Artwell Chimanga
  • Chipo Mlambo

    (University of Cape Town)

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.

Suggested Citation

  • Artwell Chimanga & Chipo Mlambo, 2014. "The Fractal Nature Of The Johannesburg Stock Exchange," The African Finance Journal, Africagrowth Institute, vol. 16(1), pages 39-56.
    • Handle: RePEc:afj:journl:v:16:y:2014:i:1:p:39-56
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    Cited by:

    1. Taro Ikeda, 2017. "Fractal analysis revisited: The case of the US industrial sector stocks," Economics Bulletin, AccessEcon, vol. 37(2), pages 666-674.
    2. Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.

    More about this item

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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