We analyze whether the prediction of the fractal markets hypothesis about adominance of specific investment horizons during turbulent times holds. To doso, we utilize the continuous wavelet transform analysis and obtained waveletpower spectra which give the crucial information about the variancedistribution across scales and its evolution in time. We show that the mostturbulent times of the Global Financial Crisis can be very well characterizedby the dominance of short investment horizons which is in hand with theassertions of the fractal markets hypothesis.
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