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Fractal Structure of the Stock Markets of Leading Asian Countries

Author

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  • Günay, Samet

    (Istanbul Arel University)

Abstract

In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious long memory features, besides the Detrended Fluctuations Analysis (DFA), we also used Smith's (2005) modified GPH method. As for fractal dimension calculations, they were conducted via Box-Counting and Variation tests. According to the results, while there is no long memory property in log returns of any index, we found evidence for long memory properties in the volatility of the HangSeng, the Shanghai Stock Exchange and the Straits Times Index. However, we could not find any sign of long memory in the volatility of Nikkei225 index using either the DFA or modified GPH test. Fractal dimension analysis also demonstrated that all raw index prices have fractal structure properties except for the Nikkei225 index. These findings showed that the Nikkei225 index has the most efficient market properties among these markets.

Suggested Citation

  • Günay, Samet, 2014. "Fractal Structure of the Stock Markets of Leading Asian Countries," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(4), pages 367-394, December.
    • Handle: RePEc:ris:eaerev:0034
    DOI: 10.11644/KIEP.JEAI.2014.18.4.286
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    Keywords

    Fractal Structure; Long Memory; Fractal Dimension; Self-Similarity; Asian Stock Markets;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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