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 ma...