A Fractal Statistical Analysis of Enron Stock Prices

Authors

  • Kristine June D. Uy University of San Jose-Recoletos
  • Marjurie Lourince E. Zanoria University of San Jose-Recoletos

DOI:

https://doi.org/10.32871/rmrj1402.02.20

Keywords:

Enron stock prices, fractal dimension, investor losses, fractal statistics

Abstract

This study examined the stock prices of Enron for the periods 1997 to 2002 with the use of fractal statistical analysis. The researchers posited that, since stock prices are products of human decisions, it should follow a fractal distribution. Any deviation from this fractal distribution is deemed to represent interventions and manipulations. Using the fundamental theorem of fractal statistics, the results of the analysis revealed that Enron’s stock prices exhibit a hidden fractal dimension that, when uncovered, showed how it reflects the investors’ risk exposure in the periods before and after the fraud. The researchers also examined the fractal dimension of the cluster of stock prices found to exhibit a fractal distribution in the pre and post fraud periods. Results of the analysis led to the conclusion that the fractal dimension of stock prices can be an indicator of how close or how far stock prices are to its “natural†behaviour. The farther it moves from this natural state, the higher is the risk associated with it.

Author Biographies

Kristine June D. Uy, University of San Jose-Recoletos

faculty member of the University of San Jose
Recoletos, was born in 1982 and educated at the University of San Jose Recoletos where she graduated magna cum laude (Bachelor of Science in Accountancy, 2003). She also obtained her Master in Business Administration degree (2008) from the same university. A Certifi ed Public Accountant, she worked with Isla Lipana and Company, a member fi rm of Pricewaterhouse Coopers (2004-2006). She has been a faculty member of the accountancy department of the University of San Jose Recoletos since 2006 up to the present, handling the subjects Basic Accounting, Partnership and Corporation Accounting, Financial Accounting, Auditing and Assurance Services, and Integrated Auditing Theory.

Marjurie Lourince E. Zanoria, University of San Jose-Recoletos

is currently working as full-time Instructor at the University of San Jose - Recoletos. Prior joining the academe, she worked for Punongbayan & Araullo, an auditing firm based in Makati handling clients in the industries manufacturing, resort, academe and business process outsourcing. While studying and reviewing to take the Certified Public Accountant examination, she served as the Sangguniang Kabataan Chairman for the years 2007-2010. After her stint in serving the youth, she was elected as the Barangay Councilor for the years 2010 to 2013. She had units in Master in Business Administration at USJ-R and is transferring to Cebu Normal University to take up Master in Public Administration to prepare for more terms in public service

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Published

2014-12-28

How to Cite

Uy, K. J. D., & Zanoria, M. L. E. (2014). A Fractal Statistical Analysis of Enron Stock Prices. Recoletos Multidisciplinary Research Journal, 2(2). https://doi.org/10.32871/rmrj1402.02.20

Issue

Vol. 2 No. 2 (2014)

Section

Articles

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