FRACTAL MARKET HYPOTHESIS VS. EFFICIENT MARKET HYPOTHESIS: APPLYING THE R/S ANALYSIS ON THE ROMANIAN CAPITAL MARKET
FRACTAL MARKET HYPOTHESIS VS. EFFICIENT MARKET HYPOTHESIS: APPLYING THE R/S ANALYSIS ON THE ROMANIAN CAPITAL MARKET

Summary/Abstract: Fractal Market Hypothesis was developed as an alternative to Efficient Market Hypothesis, as it encompassed liquidity as a determinant factor for price. R/S Analysis is a robust tool for testing whether a historical price series, for certain time interval, follows a brownian motion or there is some memory effect over it. Determining the Hurst exponent for company ALRO S.A., for a the period of time since listing, until 16/07/2021 was the aim of this paper. Values obtained for Hurst exponent applied on the time series of ALRO S.A offer precise information about the presence of the memory effect inside the stock market. As a conclusion, as Alro S.A. is one of the most representative stocks traded at Bucharest Stock Exchange, Romanian capital market has evolved from a very low stability market to a more stable investment environment.

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