THE STUDY OF NON-LINEAR BEHAVIOR OF KARACHI STOCK EXCHANGE DATA USING FRACTAL DIMENSION

Abstract

The research work done in this manuscript discusses the non-linear
behavior of the Karachi Stock Exchange monthly index data (2007-
2017). For this purpose, fractal dimension technique is used. The
fractal dimension calculated for each year from 2007 to 2017. Fractal
dimension indicates the persistency (1-1.5) behavior for each epoch.
In high index data, year 2016 found more smooth (1.3474). Similarly,
for low index data it is found that the year 2013 least rough (1.2951)
among the all years. The study may be beneficial to understand the
dynamics of Karachi Stock Exchange data. The results also show that
the Karachi Stock Exchange monthly high and low index data can be
forecast, as data sets are found persistent. On the basis of the results
obtained we can say that the non-linearity of Karachi Stock Exchange
as well as inflation rate may increase in future.