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Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur

Author

Listed:
  • Stephanie Rendón de la Torre

    (UNAM)

Abstract

This work uses wavelets in determining Hurst´s coefficient of the most important stock indices of four emerging markets known as the next new economies that will compound the BRIC group: Mexico, North Korea, Turkey and Indonesia. The objectives are: to determine whether or not persistence behavior in the long run exists for these indices; if under this perspective they should be considered as emerging markets or mature markets, to assess the non-linear and fractal characteristics (if found), to verify if it is possible to estimate future tendencies using wavelet techniques, to assess the results and to find new possibilities for financial fractal analysis and to seek other alternatives under this investigation research line. Finally, this work proposes a research field more viable and in accordance with the criticism to random walk and EMH (Efficient Market Hypothesis) approach of markets

Suggested Citation

  • Stephanie Rendón de la Torre, 2012. "Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 27-50.
    • Handle: RePEc:ega:rafega:201206
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2012V6A6Rendon.pdf
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    References listed on IDEAS

    as
    1. Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004. "Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(05), pages 615-643.
    2. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    3. Cajueiro, Daniel O & Tabak, Benjamin M, 2004. "The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 521-537.
    4. Ashley, Richard A & Patterson, Douglas M, 1989. "Linear versus Nonlinear Macroeconomies: A Statistical Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 685-704, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Wavelet; análisis fractal; coeficiente de Hurst; persistencia; mercado emergente;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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