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Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis

Robert Brooks, Elizabeth Maharaj () and Breanna Pellegrini

Applied Financial Economics Letters, 2008, vol. 4, issue 1, 41-44

Abstract: This article presents an estimation and analysis of the Hurst exponent for Australian stocks using the wavelet technique. Consistent with Mulligan's (2004) study of US technology stocks, we find that the Hurst exponent varies over the cross-section of stocks. We also analyse Mulligan's (2004) and our data and find that beta can explain some of the cross-sectional variation in the Hurst exponents. However, we find that our results are not robust to filtering out the short range dependence in the data.

Date: 2008
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