Indian Journal of Finance

Open Access Open Access  Restricted Access Subscription Access

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

   Subscribe/Renew Journal


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).
User
Subscription Login to verify subscription
Notifications
Font Size

Abstract Views: 272

PDF Views: 0




  • A Fractal Analysis of Market Efficiency for Indian Technology Equities

Abstract Views: 272  |  PDF Views: 0

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).