Modeling Market Memory As Potential Indicators of Market Informational Efficiency

摘要: The purpose of this paper is to find a way objectively benchmarking selection regional market against relatively advanced in the Asia Pacific terms their relative efficiency. Theoretically Hurst Index ("H-Index") seems be an appropriate absolute measure efficiency as purportedly reveals long run dependencies ("persistence") embedded candidate dataset. However, there have been some controversies about various methodologies used calculating H-Index rendering reliance on somewhat complicated and problematical. A large number range dependence estimators proposed from research fields including physics, biology, engineering, economics. Greene Fielitz (1977) employed classical Rescaled Range (R/S) analysis, first by (1951). They analysed daily returns 200 common stocks listed New York Stock Exchange, found that long-term characteristic amongst sample stocks. Methods determining can generally classified into two different domains: time domain based method frequency method. domain-based methods include Detrended Fluctuation Analysis (DFA) Peng et al (1994) Fractal Dimension (Higuchi, 1988). main advantages are intuitive appeal, user friendliness graphical visibility. On other hand, lack confidence interval necessity Gaussian assumptions drawbacks. absence analytic makes it difficult discriminate between small but statistically significant LRD complete LRD. Frequency Periodogram regression Geweke Porter-Hudak (1983), Wavelet estimator (Veitch Abry, 1998), Local Whittle (Kunsh, 1987). normally apply interpret, they do provide asymptotic distribution, hence basis for conducting formal hypothesis test. There merits using We chosen (R/S Method) derive three including, semi-parametric GPH One reasons choice ease implementation its well understood algorithm. Further, since we attempting obtain measure, most weaknesses might emanate R/S Method should, mutually, negated, when markets compared. It use discriminates lesser developed more ones. This step constructing objective markets. If ongoing work proves instrument robust, adopted international investors, fund managers interested parties augment respective decision making capabilities assessing efficiency, transparency, governance, potential risks target