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

##article.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.