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

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  • Robert Brooks
  • Elizabeth Maharaj
  • Breanna Pellegrini

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.

Suggested Citation

  • Robert Brooks & Elizabeth Maharaj & Breanna Pellegrini, 2008. "Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(1), pages 41-44.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:1:p:41-44
    DOI: 10.1080/17446540701367444
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    Cited by:

    1. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.

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