Applicability of the fractal market hypothesis (FMH) to the Philippine stock market

• المؤلف الرئيسي: Vital, Villamor De Guzman
• التنسيق: text
• اللغة: English
• منشور في: Animo Repository 2004
• الموضوعات: Investments > Philippines; Stocks > Philippines; Fractals; Hypothesis; Stock exchanges; Business Administration, Management, and Operations
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/etd_doctoral/42; https://animorepository.dlsu.edu.ph/context/etd_doctoral/article/1041/viewcontent/CDTG003707_P.pdf
• المؤسسة: De La Salle University

This dissertation tests the applicability of the fractal market hypothesis (FMH) to the Philippine stock market. Peters (1994) first used the FMH to prove the persistence of the US market. FMH uses Rescaled Range (R/S) analysis to compute the Hurst exponent (H). If H less than or equal to .50, then...