  We analyze whether the prediction of the fractal markets hypothesis about a
dominance of specific investment horizons during turbulent times holds. To do
so, we utilize the continuous wavelet transform analysis and obtained wavelet
power spectra which give the crucial information about the variance
distribution across scales and its evolution in time. We show that the most
turbulent times of the Global Financial Crisis can be very well characterized
by the dominance of short investment horizons which is in hand with the
assertions of the fractal markets hypothesis.
