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

• Main Author: Vital, Villamor De Guzman
• Format: text
• Language: English
• Published: Animo Repository 2004
• Subjects: Investments > Philippines; Stocks > Philippines; Fractals; Hypothesis; Stock exchanges; Business Administration, Management, and Operations
• Online Access: https://animorepository.dlsu.edu.ph/etd_doctoral/42; https://animorepository.dlsu.edu.ph/context/etd_doctoral/article/1041/viewcontent/CDTG003707_P.pdf
• Institution: 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...