Ranking the market efficiency of the Philippine stock exchange industry sectors using the multifractal detrended fluctuation analysis

In this study, the market efficiency of the Philippine stock exchange industry sectors was ranked through the multifractal detrended fluctuation analysis wherein the generalized Hurst exponents for each sector were obtained. The differences between the minimum and maximum generalized Hurst exponents...

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Bibliographic Details
Main Authors: Antenorcruz, Jude Maria V., Cruz, Rene C., Manzano, Maria Carla F.
Format: text
Published: Animo Repository 2020
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Online Access:https://animorepository.dlsu.edu.ph/faculty_research/11227
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Institution: De La Salle University