Hurst Exponent Of World Stock Market Indices

 

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   The Hurst exponent  is use to determine the underlying trend of a particular time series, i.e trend of  stock prices,

   rainfall, etc. As a rule of thumb...

 

 

        a) 0.50 < H < 1.0 implies a persistence time series. The larger the H indicates a stronger trend. (strong position on long )

        b) 0 < H < 0.5 implies antipersistence. (trade on reversal)

        c) H more or less equal to 0.5 indicates random prices. (No position taken)

 

    The Hurst exponent shown here is calculated using KaotiXL. (download demo version. )

 

        1)      Dow Jones Industrial Average ( daily returns )

        2)      NASDAQ ( daily returns )

        3)      S & P 500 ( daily returns )

        4)      Hang Seng Index ( daily returns )

        5)      Shanghai Stock Exchange ( daily returns )

        6)      Kuala Lumpur Stock Exchange ( daily returns )

        7)      Nikkei 225 ( daily returns )

        8)      Australia All Ordinaries ( daily returns )

        9)      German DAX ( daily returns )

      10)      France CAC 40 ( daily returns )

 

Dow Jones Industrial Average

Start Period End Period Hurst Exponent Trend Changes
Mar 11 2003 June 13  2007 0.59652 UP  
Mar 11 2003 June 14 2007 0.59658 UP +0.00006
Mar 11 2003 June 15 2007 0.59666 UP +0.00008
Mar 11 2003 June 18 2007 0.59673 UP +0.00007
Mar 11 2003 June 19 2007 0.59681 UP +0.00008
Mar 11 2003 June 20 2007 0.59686 UP +0.00005
Mar 11 2003 June 21 2007 0.59692 UP +0.00006
Mar 11 2003 June 22 2007 0.59695 UP +0.00003
Mar 11 2003 June 25 2007 0.59698 UP +0.00003
Mar 11 2003 June 26 2007 0.59701 UP +0.00002
Mar 11 2003 June 27 2007 0.59704 UP +0.00003
Mar 11 2003 June 28 2007 0.59708 UP +0.00003
Mar 11 2003 June 29 2007 0.59711 UP +0.00003

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NASDAQ

Start Period End Period Hurst Exponent Trend Changes
Jan 02 2001 June 13  2007 0.55835 UP  
Jan 02 2001 June 14 2007 0.55836 UP +0.00001
Jan 02 2001 June 15 2007 0.55838 UP +0.00002
Jan 02 2001 June 18 2007 0.55840 UP +0.00002
Jan 02 2001 June 19 2007 0.55842 UP +0.00002
Jan 02 2001 June 20 2007 0.55844 UP +0.00002
Jan 02 2001 June 21 2007 0.55846 UP +0.00002
Jan 02 2001 June 22 2007 0.55847 UP +0.00001
Jan 02 2001 June 25 2007 0.55849 UP +0.00002
Jan 02 2001 June 26 2007 0.55850 UP +0.00001
Jan 02 2001 June 27 2007 0.55852 UP +0.00002
Jan 02 2001 June 28 2007 0.55854 UP +0.00002
Jan 02 2001 June 29 2007 0.55855 UP +0.00002

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S & P 500

Start Period End Period Hurst Exponent Trend Changes
Jan 02 2001 June 13  2007 0.56779 UP  
Jan 02 2001 June 14 2007 0.56783 UP +0.00004
Jan 02 2001 June 15 2007 0.56788 UP +0.00005
Jan 02 2001 June 18  2007 0.56792 UP +0.00004
Jan 02 2001 June 19 2007 0.56796 UP +0.00004
Jan 02 2001 June 20 2007 0.56800 UP +0.00004
Jan 02 2001 June 21 2007 0.56804 UP +0.00004
Jan 02 2001 June 22 2007 0.56808 UP +0.00004
Jan 02 2001 June 25 2007 0.56811 UP +0.00004
Jan 02 2001 June 26 2007 0.56815 UP +0.00003
Jan 02 2001 June 27 2007 0.56818 UP +0.00004
Jan 02 2001 June 28 2007 0.56822 UP +0.00004
Jan 02 2001 June 29 2007 0.56825 UP +0.00003

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Hang Seng Index

Start Period End Period Hurst Exponent Trend Changes
Jan 02 2001 June 13  2007 0.57467 UP  
Jan 02 2001 June 14 2007 0.57469 UP +0.00002
Jan 02 2001 June 15 2007 0.57472 UP +0.00003
Jan 02 2001 June 18  2007 0.57475 UP +0.00003
Jan 02 2001 June 19 2007 0.57478 UP +0.00003
Jan 02 2001 June 20 2007 0.57481 UP +0.00003
Jan 02 2001 June 21 2007 0.57485 UP +0.00004
Jan 02 2001 June 22 2007 0.57489 UP +0.00004
Jan 02 2001 June 25 2007 0.57492 UP +0.00004
Jan 02 2001 June 26 2007 0.57496 UP +0.00003
Jan 02 2001 June 27 2007 0.57499 UP +0.00003
Jan 02 2001 June 28 2007 0.57502 UP +0.00003
Jan 02 2001 June 29 2007 0.57506 UP +0.00004

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Shanghai Stock Exchange

Start Period End Period Hurst Exponent Trend Changes
Jan 04 2000 June 13  2007 0.66373 UP  
Jan 04 2000 June 14 2007 0.66397 UP +0.00024
Jan 04 2000 June 15 2007 0.66422 UP +0.00025
Jan 04 2000 June 18  2007 0.66446 UP +0.00024
Jan 04 2000 June 19 2007 0.66471 UP +0.00025
Jan 04 2000 June 20 2007 0.66495 UP +0.00024
Jan 04 2000 June 21 2007 0.66520 UP +0.00025
Jan 04 2000 June 22 2007 0.66543 UP +0.00023

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Kuala Lumpur Stock Exchange

Start Period End Period Hurst Exponent Trend Changes
Dec 03 1993  June 13  2007 0.58904 UP  
Dec 03 1993 June 14 2007 0.58905 UP +0.00001
Dec 03 1993 June 15 2007 0.58906 UP +0.00001
Dec 03 1993 June 18  2007

0.58908

 UP +0.00002
Dec 03 1993 June 19 2007 0.58909 UP +0.00001
Dec 03 1993 June 20 2007 0.58911 UP +0.00002
Dec 03 1993 June 21 2007 0.58912 UP +0.00001
Dec 03 1993 June 22 2007

0.58914

 UP +0.00002
Dec 03 1993 June 25 2007 0.58915 UP +0.00001
Dec 03 1993 June 26 2007 0.58916 UP +0.00001
Dec 03 1993 June 27 2007 0.58918 UP +0.00002
Dec 03 1993 June 28 2007 0.58919 UP +0.00001
Dec 03 1993 June 29 2007 0.58920 UP +0.00001

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Nikkei 225

Start Period End Period Hurst Exponent Trend Changes
Jan 04 2000  June 13  2007 0.59699 UP  
Jan 04 2000 June 14 2007 0.59710 UP +0.00011
Jan 04 2000 June 15 2007 0.59721 UP +0.00011
Jan 04 2000 June 18  2007 0.59733 UP +0.00012
Jan 04 2000 June 19 2007 0.59744 UP +0.00011
Jan 04 2000 June 20 2007 0.59755 UP +0.00011
Jan 04 2000 June 21 2007 0.59766 UP +0.00011
Jan 04 2000 June 22 2007 0.59778 UP +0.00012
Jan 04 2000 June 25 2007 0.59789 UP +0.00011
Jan 04 2000 June 26 2007 0.59800 UP +0.00011
Jan 04 2000 June 27 2007 0.59810 UP +0.00010
Jan 04 2000 June 28 2007 0.59821 UP +0.00011
Jan 04 2000 June 29 2007 0.59832 UP +0.00012

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All Ordinaries

Start Period End Period Hurst Exponent Trend Changes
Jan 04 2000 June 13  2007 0.66957 UP  
Jan 04 2000 June 14 2007 0.66965 UP +0.00008
Jan 04 2000 June 15 2007 0.66973 UP +0.00008
Jan 04 2000 June 18  2007 0.66973 UP 0.00000
Jan 04 2000 June 19 2007 0.66982 UP +0.00009
Jan 04 2000 June 20 2007 0.66990 UP +0.00008
Jan 04 2000 June 21 2007 0.66999 UP +0.00009
Jan 04 2000 June 22 2007 0.67007 UP +0.00008
Jan 04 2000 June 25 2007 0.67015 UP +0.00008
Jan 04 2000 June 26 2007 0.67023 UP +0.00008
Jan 04 2000 June 27 2007 0.67031 UP +0.00009
Jan 04 2000 June 28 2007 0.67038 UP +0.00007
Jan 04 2000 June 29 2007 0.67045 UP +0.00007

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German DAX

Start Period End Period Hurst Exponent Trend Changes
Nov 26 1990  June 13  2007 0.63130 UP  
Nov 26 1990 June 14 2007 0.63134 UP +0.00004
Nov 26 1990 June 15 2007 0.63139 UP +0.00005
Nov 26 1990 June 18  2007 0.63143 UP +0.00004
Nov 26 1990 June 19 2007 0.63147 UP +0.00004
Nov 26 1990 June 20 2007 0.63151 UP +0.00004
Nov 26 1990 June 21 2007 0.63155 UP +0.00004
Nov 26 1990 June 22 2007 0.63159 UP +0.00004
Nov 26 1990 June 25 2007 0.63163 UP +0.00004
Nov 26 1990 June 26 2007 0.63168 UP +0.00005
Nov 26 1990 June 27 2007 0.63172 UP +0.00006
Nov 26 1990 June 28 2007 0.63176 UP +0.00004
Nov 26 1990 June 29 2007 0.63180 UP +0.00004

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CAC 40

Start Period End Period Hurst Exponent Trend Changes
Mar 01 1990 June 13  2007 0.52237 UP  
Mar 01 1990 June 14 2007 0.52238 UP +0.00001
Mar 01 1990 June 15 2007 0.52239 UP +0.00001
Mar 01 1990 June 18  2007 0.52339 UP +0.00100
Mar 01 1990 June 19 2007 0.52440 UP +0.00101
Mar 01 1990 June 20 2007 0.52441 UP +0.00001
Mar 01 1990 June 21 2007 0.52242 UP -0.00199
Mar 01 1990 June 22 2007 0.52243 UP +0.00001
Mar 01 1990 June 25 2007 0.52243 UP 0.00000
Mar 01 1990 June 26 2007 0.52244 UP +0.00001
Mar 01 1990 June 27 2007 0.52245 UP +0.00001
Mar 01 1990 June 28 2007 0.52246 UP +0.00001
Mar 01 1990 June 29 2007 0.52247 UP +0.00001

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