نویسنده
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسنده [English]
In this article, we test Fractal Market Hypothesis (FMH) using the daily returns in Tehran Stock Exchange. We estimated Hurst exponent using three approaches such as classic R/S analysis, modified R/S analysis and ARFIMA model. Without removing short term dependencies in returns, we rejected null hypothesis (Efficient Market Hypothesis), but after removing the short-term dependencies using ARMA model, we found that there is no long-term dependencies, fractal structure and persistence in returns. The R/S analysis overestimates the Hurst exponent; so, for determining critical values of testing statistics we used Monte Carlo simulation.
کلیدواژهها [English]
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