Evaluating and study of the Fractal Properties of Capital Markets Based on DE trended Fluctuation Analysis (Case Study: Exchange Market and Stock Index of Tehran)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Azaryoun Arash; Yazdanian Narges; Mirarab Baygi alireza; HEMMATI HODA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2021 | Volume:14 | Issue:50 Page(s): 15-28

Download Full-Text

Persian Verion

View:

220

Download:

Cites:

Information Journal Paper

Title

Evaluating and study of the Fractal Properties of Capital Markets Based on DE trended Fluctuation Analysis (Case Study: Exchange Market and Stock Index of Tehran)

Author(s)

Azaryoun Arash | Yazdanian Narges | Mirarab Baygi alireza | HEMMATI HODA | Issue Writer Certificate

Keywords

long-term memory

Multifractal properties

exchange rate

Stock Exchange Index

Abstract

In this study, the long-term memory of the stock market index and exchange rate (dollar) was estimated using detrended fluctuation analysis. In order to detrend the data, the GARCH approach was proposed and the long-term memory estimation model was implemented separately for both conventional and GARCH methods. For this purpose, daily data of stock market index and dollar exchange rate in the market during the years 2014 to 2020 were used. The results showed that the conventional method in calculating the detrended fluctuations is not able to estimate the long-term memory of the exchange rate, while the results for the stock index showed the existence of short-term memory. The results showed that the proposed method in detrending data and calculating detrended fluctuations based on Garch model has a higher power in controlling changes in market fluctuations and according to the findings of this method, stock index and dollar exchange rate have long-term memory. The results showed that these two methods provide significantly different estimates of long-term memory of the market and according to the results of the correlation test between the values of long-term memory of data and the value of parameter q in detrended fluctuation analysis; it was observed that the stock market index and exchange rate in Iran have Multifractal properties.

Cites

No record.

References

No record.

Cite

APA: Copy

Azaryoun, Arash, Yazdanian, Narges, Mirarab Baygi, alireza, & HEMMATI, HODA. (2021). Evaluating and study of the Fractal Properties of Capital Markets Based on DE trended Fluctuation Analysis (Case Study: Exchange Market and Stock Index of Tehran). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 14(50 ), 15-28. SID. https://sid.ir/paper/950175/en

Vancouver: Copy

Azaryoun Arash, Yazdanian Narges, Mirarab Baygi alireza, HEMMATI HODA. Evaluating and study of the Fractal Properties of Capital Markets Based on DE trended Fluctuation Analysis (Case Study: Exchange Market and Stock Index of Tehran). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2021;14(50 ):15-28. Available from: https://sid.ir/paper/950175/en

IEEE: Copy

Arash Azaryoun, Narges Yazdanian, alireza Mirarab Baygi, and HODA HEMMATI, “Evaluating and study of the Fractal Properties of Capital Markets Based on DE trended Fluctuation Analysis (Case Study: Exchange Market and Stock Index of Tehran),” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 14, no. 50 , pp. 15–28, 2021, [Online]. Available: https://sid.ir/paper/950175/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops