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Hurst exponent analysis in Turkish stock market

Author

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  • Necmi Gursakal
  • Zehra Berna Aydin
  • Sevda Gursakal
  • Selim Tuzunturk

Abstract

This study is about the application of Hurst exponent in an emerging financial market, the Istanbul stock exchange (ISE). The aim of this study was to find out whether ISE daily return series has long-term dependency and multifractality by using Hurst exponent analysis. Hurst values of daily return series in the period January 1994-December 2007 were computed with the sliding window method. The findings show that the return series has long-term dependency for the first period (1994-2004), but for the second period (2004-2007), the series loses its long-term dependency. This shift reminds us that the return series has multifractality.

Suggested Citation

  • Necmi Gursakal & Zehra Berna Aydin & Sevda Gursakal & Selim Tuzunturk, 2009. "Hurst exponent analysis in Turkish stock market," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 1(3), pages 255-269.
    • Handle: RePEc:ids:ijsuse:v:1:y:2009:i:3:p:255-269
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    Cited by:

    1. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.

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