ON THE BEHAVIOR OF MALAYSIAN EQUITIES: FRACTAL ANALYSIS APPROACH

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BAHIRAIE ALIREZA; FOROOZESH PEYMAN

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Paper Information

Journal: Journal of Quantitative Economics Year:2015 | Volume:12 | Issue:1 (44) Page(s): 1-18

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Title

ON THE BEHAVIOR OF MALAYSIAN EQUITIES: FRACTAL ANALYSIS APPROACH

Author(s)

BAHIRAIE ALIREZA | FOROOZESH PEYMAN | Issue Writer Certificate

Keywords

FRACTAL ANALYSISQ2

MALAYSIAN EQUITIESQ2

STOCK MARKETQ2

Abstract

Fractal analyzing of continuous processes have recently emerged in literatures in various domains. Existence of long memory in many processes including financial time series has been evidenced via different methodologies in many literatures in the past decade. This has inspired many recent literatures on quantifying the fractional Brownian motion (fBm) characteristics of financial time series. This paper questions the accuracy of commonly applied fractal analyzing methods on explaining persistent or antipersistent behavior of time series understudy. Rescaled range (R/S) and power spectrum techniques produce fractal dimensions for daily returns of twelve Malaysian stocks from the most well performed firms in Kuala Lumpur stock exchange. Zipf’s law generates linear and logarithmic power law distribution plots to evaluate the validity of estimated fractal dimensions on prescribing persistent and anti-persistent characteristics with less ambiguity. Findings of this study recommend a more thoughtful approach on classifying persistent and anti-persistent behaviors of financial time series by utilizing existing fractal analyzing methods.

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APA: Copy

BAHIRAIE, ALIREZA, & FOROOZESH, PEYMAN. (2015). ON THE BEHAVIOR OF MALAYSIAN EQUITIES: FRACTAL ANALYSIS APPROACH. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), 12(1 (44)), 1-18. SID. https://sid.ir/paper/110708/en

Vancouver: Copy

BAHIRAIE ALIREZA, FOROOZESH PEYMAN. ON THE BEHAVIOR OF MALAYSIAN EQUITIES: FRACTAL ANALYSIS APPROACH. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)[Internet]. 2015;12(1 (44)):1-18. Available from: https://sid.ir/paper/110708/en

IEEE: Copy

ALIREZA BAHIRAIE, and PEYMAN FOROOZESH, “ON THE BEHAVIOR OF MALAYSIAN EQUITIES: FRACTAL ANALYSIS APPROACH,” JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), vol. 12, no. 1 (44), pp. 1–18, 2015, [Online]. Available: https://sid.ir/paper/110708/en

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