The difference between dimensions fractal and Fractal random walks of return index and future fall risk and systematic risk in Tehran Stock Exchange
Subject Areas : Journal of Investment Knowledge
Amir hosein Abdolmaleki
1
(PhD student in accounting. South Tehran Branch. Islamic Azad university)
mohsen hamidian
2
(Faculty member of Islamic Azad University, South Tehran Branch, Tehran, Iran)
ali baghani
3
(Faculty member of Islamic Azad University, South Tehran Branch, Tehran, Iran)
Keywords: return Index, Fractal random walks, Future Fall Risk, Fractal Dimensions,
Abstract :
Financial markets can be evaluated as dynamic nonlinear systems that consider the interactions of factors in the process of immediate information analysis. Investors with different time horizons in the market may use this information differently. Thus, the financial market has a fractal structure in relation to investment time horizons. This research is of applied type and of post-event type; the method research is applicable and run based on past information. The statistical population of the study includes all companies listed in the Iranian capital market during the period 2008-2018. In this study, after calculating the fractal dimension of the experimental group using ARFIMA model and the fractal dimension and simulated Fractal random walks group using RUN test, the difference between these two dimensions in price index, return, future fall risk and systematic risk is investigated. Data analysis was performed in both 5-year and 10-year intervals using EVIEWS and SPSS software and the results indicate that the difference between dimensions fractal and f simulated Fractal random walks of the return index and the risk of future and systematic stock falls in short-term intervals means and is not significant in the long-term
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