An application of rescaled range analysis in the Philippine stock market from 2000-2009

Date of Publication

2010

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Tomas Tiu

Defense Panel Member

Leonardo Araneta
Junette A. Perez
Ma. Concepcion Latoja

Abstract/Summary

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 market using the PSEi returns and PSE sector index returns. If proven there exists long memory, it will be confirmed that stock prices cannot be explained by linear models. Rescaled range analysis is a robust statistical technique which is able to detect long memory and to discern the average cycle length of irregular cycles. Using the Philippine stock market data from 2000-2009, this study attempts to explore the possible presence of long memory in the returns, to estimate the non-periodic cycle length, and to compare the market efficiency of each index.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21255

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

72, [150] leaves, illustrations (some color), 28 cm.

Keywords

Stock exchanges--Philippines

Embargo Period

5-10-2021

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