文章基本信息

标题：Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
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作者：Mishelle Doorasamy ; Prince Kwasi Sarpong
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2018
卷号：8
期号：1
页码：93-100
语种：English
出版社：EconJournals
摘要：Peters (1994) proposed the fractal market hypothesis (FMH) as an alternative to the efficient market hypothesis, following his criticism of the EMH. In this study, we analyse whether the fractal nature of a financial market determines its riskiness and degree of persistence as measured by its Hurst exponent. To do so, we utilize the Markov Switching Model to derive a persistence index ( PI ) to measure the level of persistence of selected indices on the Johannesburg Stock Exchange (JSE) and four other international stock markets. We conclude that markets with high Hurst exponents, show stronger persistence and less risk relative to markets with lower Hurst exponents .
关键词：Fractal Market Hypothesis; Markov Switching Model; Efficient Market Hypothesis