The influence of liquidity on informational efficiency: The case of the Thai Stock Market

被引：29
作者：
Fernandez Bariviera, Aurelio [1 ]
机构：
[1] Univ Rovira & Virgili, Dept Business, Reus 43204, Spain
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2011年 / 390卷 / 23-24期
关键词：
Long-range dependence; Thailand; Hurst's exponent; Detrended fluctuation analysis; LONG-RANGE DEPENDENCE; TIME-SERIES; RETURNS; INEFFICIENCY; ESTIMATORS;
D O I：
10.1016/j.physa.2011.07.032
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The presence of long-range memory in financial time series is a puzzling fact that challenges the established financial theory. We study the effect of liquidity on the efficiency (measured by the Hurst's exponent) of the Thai Stock Market. According to our study, we find that: (i) the R/S method could generate spurious long-range dependence, giving the DFA method more reliable estimates of the Hurst's exponent and (ii) there is a weak relationship between market capitalization and the efficiency of the market, and that the latter is not significantly affected by the presence of foreign investors. (C) 2011 Elsevier B.V. All rights reserved.
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收藏
页码：4426 / 4432
页数：7
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