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

Aurelio Fernandez Bariviera

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 23, 4426-4432

Abstract: 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.

Keywords: Long-range dependence; Thailand; Hurst’s exponent; Detrended fluctuation analysis (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:23:p:4426-4432

DOI: 10.1016/j.physa.2011.07.032

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