International Journal of Innovative Research in                 Electrical, Electronics, Instrumentation and Control Engineering

A monthly peer-reviewed online and print journal

ISSN Online 2321-2004
ISSN Print 2321-5526

Since  2013

Abstract: An investigation has been prepared to explore concept of self-similarity and stationarity nature of time series data of a stock market. Two time series data namely the Bombay Stock Exchange (BSE) as well as, the Stock Exchange of Hong-Kong (SEHK), the average parameters have been observed from January 2007 to  November 2017. Analysis of both parameters has been carried out, through statistical techniques, to establish the nature of scaling pattern and non-stationarity. The calculation of Hurst exponent done by WVA and VGA showed that the time series is anti-persistent. Augmented Dicky Fuller Test (ADF), Kwiatkowski–Phillips-Schimdt-Shin test (KPSS) and Continuous Wavelet Transform (CWT) have been used to test for non-stationarity.

 
Keywords: Stock Market; Hurst Exponent; Fractality; Stationarity; Continuous Wavelet Transform


PDF | DOI: 10.17148/IJIREEICE.2019.7906

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