Abstract:

In financial markets price changes play important role for investors in their investment decisions. Therefore, investors try to explain and predict stock price changes. Some of the academic studies concluded that stock price changes conform the normal distribution whereas several others did not. Recently, in order to explain the behavior of financial markets, researchers have focused on fractal analysis. Fractal analysis aims at distinguishing linear behavior from unpredictable non-linear and chaotic behavior. Fractal analysis offers an alternative to conventional statistical risk measures in explaining behavior of stock markets. The purpose of this study is to investigate the fractal structure of Istanbul Stock Exchange (ISE). Rescaled Range (R/S) analysis is used in order to explain the behavior of ISE. It has been concluded that behavior of price changes in ISE can be asserted with fractal analysis.

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