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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| Main Authors: | , , |
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| Format: | text |
| Published: |
Animo Repository
2020
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/11227 |
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| Institution: | De La Salle University |
