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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.

Suggested Citation

  • Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
  • Handle: RePEc:eee:phsmap:v:390:y:2011:i:23:p:4426-4432
    DOI: 10.1016/j.physa.2011.07.032
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:ecolet:v:161:y:2017:i:c:p:1-4 is not listed on IDEAS
    2. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
    3. repec:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9340-8 is not listed on IDEAS
    4. 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.
    5. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    6. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    7. Aurelio Fernandez Bariviera & María Belén Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "The (in)visible hand in the Libor market: an information theory approach," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(8), pages 1-9, August.
    8. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.
    9. Todea, Alexandru & Pleşoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
    10. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2016. "Crude Oil Market And Geopolitical Events: An Analysis Based On Information-Theory-Based Quantifiers," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 21(1), pages 41-51, May.

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