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

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  • Bariviera, Aurelio Fernández

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.

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 390 (2011)
Issue (Month): 23 ()
Pages: 4426-4432

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Handle: RePEc:eee:phsmap:v:390:y:2011:i:23:p:4426-4432

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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Keywords: Long-range dependence; Thailand; Hurst’s exponent; Detrended fluctuation analysis;

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Cited by:
  1. Bariviera, A.F. & Guercio, M. Belén & Martinez, Lisana B., 2012. "A comparative analysis of the informational efficiency of the fixed income market in seven European countries," Economics Letters, Elsevier, vol. 116(3), pages 426-428.

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