INVESTMENT IMPLICATIONS OF THE FRACTAL MARKET HYPOTHESIS

2019 ◽  
Vol 14 (01) ◽  
pp. 1950001 ◽  
Author(s):  
ADAM KARP ◽  
GARY VAN VUUREN
Keyword(s):  
Time Series ◽  
Fractal Dimension ◽  
Emerging Market ◽  
Efficient Market Hypothesis ◽  
Demand And Supply ◽  
Market Participants ◽  
Market Index ◽  
Incomplete Model ◽  
Fractal Time ◽  
Fractal Market Hypothesis

The Efficient Market Hypothesis (EMH) has been repeatedly demonstrated to be an inferior — or at best incomplete — model of financial market behavior. The Fractal Market Hypothesis (FMH) has been installed as a viable alternative to the EMH. The FMH asserts that markets are stabilized by matching demand and supply of investors’ investment horizons while the EMH assumes that the market is at equilibrium. A quantity known as the Hurst exponent determines whether a fractal time series evolves by random walk, a persistent trend or mean reverts. The time dependence of this quantity is explored for two developed market indices and one emerging market index. Another quantity, the fractal dimension of a time series, provides an indicator for the onset of chaos when market participants behave in the same way and breach a given threshold. A relationship is found between these quantities: the larger the change in the fractal dimension before breaching, the larger the rally in the price index after the breach. In addition, breaches are found to occur principally during times when the market is trending.

Comparative Analysis of Value at Risk(VaR) of MSCI-EMI With Traditional Time Series Methods and ANN

2021 ◽  
pp. 34-57
Author(s):  
Emre Çevik ◽  
Suzan Kantarcı Savaş ◽  
Esin Cumhur Yalçın
Keyword(s):  
Time Series ◽  
Value At Risk ◽  
Comparative Evaluation ◽  
Financial Risk ◽  
Emerging Market ◽  
Information Criteria ◽  
Risk Indicator ◽  
Confidence Levels ◽  
Market Index ◽  
Ann Models

In this chapter, the VaR of the MSCI emerging market index (MSCI-EMI) developed by Morgan Stanley Capital International (MSCI) is estimated using linear, nonlinear time series and ANN. In this context, the aim of the study is to estimate the VaR exceedance of the MSCI-EMI as a global financial risk indicator compared with traditional time series methods and ANN. In addition, the most effective method on this index is determined by statistical information criteria, and the comparative evaluation of the model selection criteria is carried out. The period of analysis is between December 1987-April 2020 with monthly frequency and VaR exceedance obtained with ARMA-GARCH, TGARCH, EGARCH, GJR, and ANN models. Confidence levels of models, VaR exceedance, and Kupeic statistics are obtained. VaR exceedances are examined through the superior model.

scholarly journals ESG Disclosures and Stock Price Crash Risk

2021 ◽  
Vol 14 (2) ◽  
pp. 70 ◽  
Author(s):  
Rio Murata ◽  
Shigeyuki Hamori
Keyword(s):  
Dynamic Model ◽  
Stock Price ◽  
The United States ◽  
Crash Risk ◽  
Firm Level ◽  
Market Participants ◽  
Major Market ◽  
Market Index ◽  
Index Components ◽  
The Relationship

In this study, we investigate the relationship between environmental, social, and governance (ESG) disclosures and stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash determinants is helpful for investment decisions and risk management. In this study, we use samples of major market index components in Europe, the United States, and Japan to perform regression analyses, after controlling for other potential stock price crash determinants. We estimate static two-way fixed-effect models and dynamic GMM models. We find that coefficients of firm-level ESG disclosures are not statistically significant in the static model. ESG disclosure coefficients in the dynamic model are not statistically significant in the U.S. market sample. On the other hand, coefficients of ESG disclosure scores in the dynamic model are statistically significant and negative in the European and Japanese marker sample. Our findings suggest that ESG disclosures lower future stock price crash risk; however, the effect and predictive power of ESG disclosures differ among regions.

scholarly journals Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economies

Risks ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 43
Author(s):  
Syeda Hina Zaidi ◽  
Ramona Rupeika-Apoga
Keyword(s):  
Economic Growth ◽  
Emerging Markets ◽  
Interest Rates ◽  
Emerging Market ◽  
The Philippines ◽  
Country Level ◽  
Market Index ◽  
High Inflation ◽  
Asian Emerging Markets ◽  
Growth Volatility

This study investigates the country-level determinants of liquidity synchronization and degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable risk factor, liquidity co-movement shock spreads market-wide and thus disrupts the overall functioning of the financial market. Firms in Asian markets operate in legal and regulatory environments distinct from those of firms analyzed in the previous literature. Comprehensive analyses of liquidity synchronicity in emerging markets are limited. A major knowledge gap pertaining to Asian emerging markets serves as the primary motivation for this study. Seven Asian emerging economies are selected from the MSCI emerging market index: Bangladesh, China, India, Indonesia, Malaysia, Pakistan and the Philippines for analysis from 2010 to 2019. The empirical findings show high levels of liquidity synchronicity in weaker economic and financial environments with low GDP growth, high inflation and interest rates and underdeveloped financial systems taking the form of low levels of private credit. Liquidity synchronicity is also affected by poor investor protection, political instability, weak rule of law and government ineffectiveness. Moreover, levels of liquidity synchronicity are higher in a period of economic growth volatility.

Runoff Fractal Dimension of Songhua River Basin in Harbin Station Based on Db4 Wavelet

2012 ◽  
Vol 550-553 ◽  
pp. 2537-2540
Author(s):  
Hai Yan Gu ◽  
Yong Wang ◽  
Lei Yu
Keyword(s):  
Time Series ◽  
Fractal Dimension ◽  
River Basin ◽  
Fractal Theory ◽  
Measurement Methods ◽  
Self Similarity ◽  
Songhua River ◽  
Songhua River Basin ◽  
The Songhua River Basin ◽  
The Songhua River

The wavelet analysis and fractal theory into the analysis of hydrological time series, fluctuations in hydrological runoff sequence given the complexity of the measurement methods--- fractal dimension. The real monthly runoffs of 28 years from Songhua River basin in Harbin station are selected as research target. Wavelet transform combined with spectrum method is used to calculate the fractal dimension of runoff. Moreover, the result demonstrates that the runoff in Songhua River basin has the characteristic of self-similarity, and the complexity of runoff in the Songhua River basin in Harbin station is described quantificationally.

scholarly journals Fractal dimension algorithms and their application to time series associated with natural phenomena

2013 ◽  
Vol 475 ◽  
pp. 012002 ◽  
Author(s):  
F Cervantes-De la Torre ◽  
J I González-Trejo ◽  
C A Real-Ramírez ◽  
L F Hoyos-Reyes
Keyword(s):  
Time Series ◽  
Fractal Dimension ◽  
Natural Phenomena

scholarly journals Determinants of internet financial disclosure in an emerging market: lessons from Brazil

2008 ◽  
Vol 5 (2) ◽  
pp. 379-392
Author(s):  
Wesley Mendes-da-Silva ◽  
Theodore E. Christensen ◽  
Vernon J. Richardson
Keyword(s):  
Corporate Governance ◽  
Voluntary Disclosure ◽  
Stock Exchange ◽  
Emerging Market ◽  
Financial Information ◽  
Financial Disclosure ◽  
The Internet ◽  
Cross Sectional ◽  
Market Participants ◽  
Dramatic Shift

Disclosure transparency is one of the pillars of good corporate governance. Moreover, the digital age has produced a dramatic shift in the corporate communication paradigm. As a result, companies increasingly use the Internet as a means of disseminating and disclosing financial information to shareholders, analysts and other interested capital market participants. This research examines the determinants of voluntary disclosure of financial information on the Internet by Brazilian firms. Cross-sectional analyses based on 291 non-financial companies listed on the São Paulo Stock Exchange in 2002 indicate that both firm size and the quality of corporate governance are positively related to the level of voluntary disclosure of financial information on the Internet. These results are consistent with the notion that Brazilian firms with incentives to improve financial transparency disclose more financial information on the Internet. Compared to similar Internet disclosures of U.S.-domiciled companies, this study finds that corporate governance is an incremental determinant of Internet financial disclosure for Brazilian enterprises

scholarly journals Determinants of Exports of Pakistan: A Country-wise Disaggregated Analysis.

2011 ◽  
Vol 50 (4II) ◽  
pp. 715-732 ◽  
Author(s):  
Naseeb Zada ◽  
Malik Muhammad ◽  
Khan Bahadar
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Export Performance ◽  
Small Samples ◽  
Series Data ◽  
Supply Side ◽  
Empirical Bayesian ◽  
Demand And Supply ◽  
Price And Income Elasticities ◽  
Trade Partners

Given the importance of international trade and export performance in economic growth, this study attempts to examine the determinants of exports of Pakistan, using a time series data over the period 1975-2008. A simultaneous equation approach is followed and the demand and supply side equations are specified with appropriate variables. This is a country-wise disaggregated analysis of Pakistan versus its trade partners and the estimation strategy is based on two approaches. First we employ the Generalised Methods of Moments (GMM), which is followed by the Empirical Bayesian technique to get consistent estimates. The GMM technique is believed to be efficient for time series data provided the sample size is sufficiently large. In case of small samples, the estimates might not be precise and might appear with unbelievable sign and insignificant magnitudes. To avoid the sample bias and other problems, we employ the Empirical Bayesian technique which provides much precise estimates. The factual results obtained via the GMM technique are a little bit mixed, although most of the coefficients are found to be statistically significant and carry their expected signs. In order to compare and validate these results, the Empirical Bayesian technique is employed. This offers considerable improvement over the previous results and all the variables are found to be highly significant with correct sign across the countries concerned with the exception of a few cases. The price and income elasticities in both the demand and supply side equations carry their expected signs and significant magnitudes for the trading partners. The findings suggest that exports of Pakistan are much sensitive to changes in the world demand and world prices. This establishes the importance of demand side factors like world GDP, Real exchange rate, and world prices to determine the exports of Pakistan. On the supply side, we find relatively small price and income elasiticities. The results reveal that demand for exports is relatively higher for countries in NAFTA, European Union and Middle East regions. The study recommends particular concentration on the trade partners in these regions to improve the export performance of Pakistan. Keywords: Exports, GMM, Empirical Bayesian Method, Pakistan

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