An application of rescaled range analysis in the Philippine stock market from 2000-2009

• Main Authors: Kim, Minah, Nieva, Karla
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Stock exchanges > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/14949
• Institution: De La Salle University

This paper makes a use of non-linear model to test the existence of long memory in an emerging market like the Philippines. In order to confirm whether the efficient market hypothesis is applicable to the Philippine stock market, the study uses Hurst exponent to detect long term dependency in the market using the PSEi returns and PSE sector index returns. If proven there exists long memory, it will be confirmed that stock prices cannot be explained by linear models. Rescaled range analysis is a robust statistical technique which is able to detect long memory and to discern the average cycle length of irregular cycles. Using the Philippine stock market data from 2000-2009, this study attempts to explore the possible presence of long memory in the returns, to estimate the non-periodic cycle length, and to compare the market efficiency of each index.