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A fractal analysis of world stock markets

Author

Listed:
  • Taro Ikeda

    (Graduate School of Economics, Kobe University)

Abstract

This paper provides a fractal analysis of world stock prices. We find that the majority of stock prices are fractal.

Suggested Citation

  • Taro Ikeda, 2017. "A fractal analysis of world stock markets," Economics Bulletin, AccessEcon, vol. 37(3), pages 1514-1532.
    • Handle: RePEc:ebl:ecbull:eb-16-00863
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    File URL: http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I3-P137.pdf
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    References listed on IDEAS

    as
    1. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
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    Cited by:

    1. Cristofaro, Lorenzo & Gil-Alana, Luis A. & Chen, Zhongfei & Wanke, Peter, 2021. "Modelling stock market data in China: Crisis and Coronavirus," Finance Research Letters, Elsevier, vol. 41(C).
    2. Flores-Muñoz, Francisco & Báez-García, Alberto Javier & Gutiérrez-Barroso, Josué, 2019. "Fractional differencing in stock market price and online presence of global tourist corporations," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 194-204.
    3. Mishelle Doorasamy & Prince Kwasi Sarpong, 2018. "Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration," International Journal of Economics and Financial Issues, Econjournals, vol. 8(1), pages 93-100.
    4. Alexander V Laktyunkin & Alexander A Potapov, 2020. "Impact of COVID-19 on the Financial Crisis - Calculation of Fractal Parameters," Biomedical Journal of Scientific & Technical Research, Biomedical Research Network+, LLC, vol. 30(5), pages 23768-23772, October.

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    More about this item

    Keywords

    Fractal geometry; Fractal market hypothesis; Efficient market hypothesis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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