Efficiency Ranking of Selected Industries of Tehran Stock Exchange Market: Application of Multi-Fractal Detrended Fluctuation Analysis

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OWJIMEHR SAKINEH; MONTAKHAB AFSHIN; SAMADI ALI HUSSEIN

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Journal: Journal of Industrial Economic Research Year:2021 | Volume:4 | Issue:14 Page(s): 11-26

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Title

Efficiency Ranking of Selected Industries of Tehran Stock Exchange Market: Application of Multi-Fractal Detrended Fluctuation Analysis

Author(s)

OWJIMEHR SAKINEH | MONTAKHAB AFSHIN | SAMADI ALI HUSSEIN | Issue Writer Certificate

Keywords

Efficiency

Multi-Fractal Detrended Fluctuation Analysis (MFDFA)

Stock Industries

Iran

Abstract

Analysis of financial markets time series is an aspect of finance which is important to both investors as well as regulators. In particular, the validity of the efficient market hypothesis plays a significant part in such considerations. In this regard, the (weak) efficient market hypothesis is usually investigated within the random walk theory with tools such as rescaled rang analysis. However, it is by now well-known that markets are complex system, whose technical analysis requires tools for complex systems theory. We therefore use the Multi-Fractal Detrended Fluctuation Analysis (MFDFA) in order to addresses the degree of market Efficiency in various sector of industries in the Tehran Stock Exchange. We choose the largest sectors and analyze their daily price indices for the period of March 2008 to December 2020. For each of the sectors we calculate the generalized Hurst exponent as well as singularity exponent and singularity spectrum. We next use various measures of market inEfficiency based on Multi-Fractal analysis (width of singularity spectrum) in order to rank these sectors in term of their inEfficiency index. We find that while oil products and metallic mineral products sectors rank high on inEfficiency, diversified industrials and base metals, rank relatively lower. We also note that a measure of standard Hurst exponent indicates that all considered sectors are relatively inefficient when compared to other Islamic Stock Exchange indices.

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APA: Copy

OWJIMEHR, SAKINEH, MONTAKHAB, AFSHIN, & SAMADI, ALI HUSSEIN. (2021). Efficiency Ranking of Selected Industries of Tehran Stock Exchange Market: Application of Multi-Fractal Detrended Fluctuation Analysis. JOURNAL OF INDUSTRIAL ECONOMIC RESEARCHES, 4(14 ), 11-26. SID. https://sid.ir/paper/384905/en

Vancouver: Copy

OWJIMEHR SAKINEH, MONTAKHAB AFSHIN, SAMADI ALI HUSSEIN. Efficiency Ranking of Selected Industries of Tehran Stock Exchange Market: Application of Multi-Fractal Detrended Fluctuation Analysis. JOURNAL OF INDUSTRIAL ECONOMIC RESEARCHES[Internet]. 2021;4(14 ):11-26. Available from: https://sid.ir/paper/384905/en

IEEE: Copy

SAKINEH OWJIMEHR, AFSHIN MONTAKHAB, and ALI HUSSEIN SAMADI, “Efficiency Ranking of Selected Industries of Tehran Stock Exchange Market: Application of Multi-Fractal Detrended Fluctuation Analysis,” JOURNAL OF INDUSTRIAL ECONOMIC RESEARCHES, vol. 4, no. 14 , pp. 11–26, 2021, [Online]. Available: https://sid.ir/paper/384905/en

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