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Time-varying self-similarity in alternative investments

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  • Lahmiri, Salim
  • Bekiros, Stelios

Abstract

A rolling-window based approach is adopted in the current work to gauge time evolution of long-range dependence in a large set of various alternative (nonconventional) markets including Islamic, sustainability, ecology, and ethical equity markets. The approach allows conveying important information about the dynamics of long-range dependence in such contemporary and trendy alternative investments. The study shows that all investigated “alternative” markets exhibit persistence/anti-persistence dynamics, except two which reveal pure random behaviour. Roughly half of the Islamic markets and all ecological markets demonstrate persistent dynamic behaviour. On the contrary, all sustainable and most of the ethical alternative markets show increased anti-persistence. The persistence/anti-persistence patterns observed are cyclical, namely they are clustered over time. Finally, the distributions of estimated Hurst exponents are statistically different within Islamic and non-Islamic alternative markets.

Suggested Citation

  • Lahmiri, Salim & Bekiros, Stelios, 2018. "Time-varying self-similarity in alternative investments," Chaos, Solitons & Fractals, Elsevier, vol. 111(C), pages 1-5.
    • Handle: RePEc:eee:chsofr:v:111:y:2018:i:c:p:1-5
    DOI: 10.1016/j.chaos.2018.04.004
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    Cited by:

    1. Lahmiri, Salim & Bekiros, Stelios, 2019. "Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 334-341.
    2. Zhang, Bo & Wang, Guochao & Wang, Yiduan & Zhang, Wei & Wang, Jun, 2019. "Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1012-1025.
    3. Lahmiri, Salim & Bekiros, Stelios & Stavroyiannis, Stavros & Babalos, Vassilios, 2018. "Modelling volatility persistence under stochasticity assumptions: evidence from common and alternative investments," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 158-163.
    4. Shao, Wei & Wang, Jian, 2020. "Does the “ice-breaking” of South and North Korea affect the South Korean financial market?," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    5. Lahmiri, Salim & Bekiros, Stelios, 2021. "The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
    6. Wang, Zhuo & Shang, Pengjian, 2021. "Generalized entropy plane based on multiscale weighted multivariate dispersion entropy for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    7. Rehman, Mobeen Ur & Asghar, Nadia & Kang, Sang Hoon, 2020. "Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).

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