Efficiency of Thai stock markets: Detrended fluctuation analysis

Jessada Sukpitak and Varagorn Hengpunya

Physica A: Statistical Mechanics and its Applications, 2016, vol. 458, issue C, 204-209

Abstract: The evolution of Hurst exponent of SET index over time, as a measure of market efficiency, is examined by DFA method. It is found that, during the study period, Hurst exponent tends to decrease to the ideal value 0.5, i.e., the market becomes more efficient. This finding readily conforms to the assertion that emerging markets are becoming more efficient. Additionally, the development of Hurst exponent during November 2006 to March 2015 of SET index compared to MAI index is investigated. The result shows that the deviation of the Hurst exponent from 0.5 for the MAI index is larger than that of the SET index. This implies that SET is more efficient than MAI and thus supports the assumption that market capitalization has significant influence on market efficiency.

Keywords: Market efficiency; The stock exchange of Thailand; DFA (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:458:y:2016:i:c:p:204-209

DOI: 10.1016/j.physa.2016.03.076

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