دانلود رایگان مقاله تجزیه و تحلیل نوسانات چندفراکتی بازده بازار مالی: مقایسه با استفاده از شاخص های ETF

Abstract

This study challenges the efficient market hypothesis, relying on the Dow Jones sector Exchange-Traded Fund (ETF) indices. For this purpose, we use the generalized Hurst exponent and multifractal detrended fluctuation analysis (MF-DFA) methods, using daily data over the timespan from 2000 to 2015. We compare the sector ETF indices in terms of market efficiency between short- and long-run horizons, small and large fluctuations, and before and after the global financial crisis (GFC). Our findings can be summarized as follows. First, there is clear evidence that the sector ETF markets are multifractal in nature. We also find a crossover in the multifractality of sector ETF market dynamics. Second, the utilities and consumer goods sector ETF markets are more efficient compared with the financial and telecommunications sector ETF markets, in terms of price prediction. Third, there are noteworthy discrepancies in terms of market efficiency, between the short- and long-term horizons. Fourth, the ETF market efficiency is considerably diminished after the global financial crisis.

4. Concluding remarks

The purpose of this study was to assess the the EMH, using the Dow Jones ETF indices at the sector level. To this end, we used the generalized Hurst exponent and the MF-DFA and drew a comparison in terms of market efficiency between short- and long-run horizons, small and large fluctuations, and before and after the GFC.

Our findings can be summarized as follows. First, there is clear evidence that the sector ETF markets are multifractal in nature, as the generalized Hurst exponent varies depending on the order of ݍ .Moreover, we can find a crossover in the multifractality of sector ETF market dynamics. These results underline the complexity of the stock market. Second, the generalized Hurst exponent is relatively close to 0.5 and its variability is relatively small for the consumer goods (DJUSNC) as well as the utilities (DJUSUT) indices, as compared to more speculative sectors such as financial (DJUSFN) and telecommunications (DJUSTL) indices. In case of the financial and telecommunications sector ETFs, it is relatively easier to speculate on these assets, as the dynamics of their price movements do not follow random walk and have a pattern. Third, in most of the sector ETF markets, the variability of the generalized Hurst exponent and the calculated ܯܦܯ values increases after the GFC, which indicates a decrease in the degree of market efficiency. Fourth, the MF-DFA analyses conducted on short- and long-term horizons provide different results. However, for the entire sample case, the utilities (DJUSUT) and the consumer goods (DJUSNC) ETF markets are relatively closer to the EMH than the financial (DJUSFN) and telecommunications (DJUSTL) sector ETF markets. Nevertheless, the GFC reversed the market ranking both in the shortand long-term horizons.