Indian Journal of Finance

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A Fractal Analysis of Market Efficiency for Indian Technology Equities


Affiliations
1 Debasish Banerjee Associate Professor, Department of Accountancy, Finance, Information Systems, & Economics, College of Business, Western Carolina University, Cullowhee, NC 28723, United States
2 Department of Accountancy, Finance, Information Systems, & Economics, College of Business, Western Carolina University, Cullowhee, NC 28723, United States

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This paper employs five alternative methods for estimating Hurst exponent (1951), fractal dimension, and Mandelbrot-Lévy characteristic exponent (Lévy 1925) to examine the fractal character of three information technology equities, Satyam, Tata Consultancy Services, and Infosys. Fractal structure or long memory in equity prices indicate that traditional statistical and econometric methods are inadequate for analyzing security markets. Findings support the weak form of the efficient market hypothesis (EMH), and the more general multi-fractal model of asset returns (MMAR) of Mandelbrot, Fisher, and Calvet (1997).
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  • A Fractal Analysis of Market Efficiency for Indian Technology Equities

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Authors

Debasish Banerjee
Debasish Banerjee Associate Professor, Department of Accountancy, Finance, Information Systems, & Economics, College of Business, Western Carolina University, Cullowhee, NC 28723, United States
Robert F. Mulligan
Department of Accountancy, Finance, Information Systems, & Economics, College of Business, Western Carolina University, Cullowhee, NC 28723, United States

Abstract


This paper employs five alternative methods for estimating Hurst exponent (1951), fractal dimension, and Mandelbrot-Lévy characteristic exponent (Lévy 1925) to examine the fractal character of three information technology equities, Satyam, Tata Consultancy Services, and Infosys. Fractal structure or long memory in equity prices indicate that traditional statistical and econometric methods are inadequate for analyzing security markets. Findings support the weak form of the efficient market hypothesis (EMH), and the more general multi-fractal model of asset returns (MMAR) of Mandelbrot, Fisher, and Calvet (1997).