Estimating the fractal dimension of all share index of the Nigerian stock market (ASINSM) from 1999 to 2013

Abstract

In this study, All Share Index data of the Nigerian stock market was estimated using the fractal dimension as an estimator for a period of fifteen years (January 1999–December 2013). The Hurst parameter H ∈ [0, 1] obtained is used as a dimensionless estimate. The linear relationship between the Hurst parameter and the fractal dimension, D, is given by D = 2 − H. The study evaluates whether the Nigerian stock market exhibits persistent, random, or anti-persistent behaviour within the period under review. The result of the fractal dimension, D = 1.54, obtained showed that the market exhibited weak anti-persistent behaviour and a slight departure from a purely random walk during the particular period. Also, the yearly estimated values of D showed varying behavioural patterns: persistent, anti-persistent, and random behaviour across different economic periods. The result will help policymakers gain a better understanding of market dynamics in order to improve market transparency and stability.