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

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 ma...

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Bibliographic Details
Main Authors: Kim, Minah, Nieva, Karla
Format: text
Language:English
Published: Animo Repository 2010
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/14949
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Institution: De La Salle University
Language: English