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