Efficiency of Thai stock markets: Detrended fluctuation analysis

Sukpitak, Jessada; Hengpunya, Varagorn

doi:10.1016/j.physa.2016.03.076

Cited by 29 publications

(28 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For instance, Alvarez-Ramirez et al (2008) used it to analyze crude oil markets and concluded on time-varying short-term inefficiency which became efficient in the long-run. Using the same method to explore Thai stock markets, Sukpitak and Hengpunya (2016) concluded that the most efficient market is the Stock Exchange of Thailand (SET), while the least efficient is the Market of Alternative Investment (MAI). This study also supported the assumption that market capitalization significantly affects market efficiency.…”

Section: Introductionmentioning

confidence: 99%

Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

Aslam

Mohti

Ferreira

2020

IJFS

View full text Add to dashboard Cite

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics.

show abstract

Section: Introductionmentioning

confidence: 99%

Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

Aslam

Mohti

Ferreira

2020

IJFS

View full text Add to dashboard Cite

show abstract

“…On the other hand, the Thailand Islamic stock market lost its efficiency after the crisis. This is contrary with Sukpitak and Hengpunya who found that conventional stock in Thailand remains efficient after the crisis [30]. Thus, rather than assume that this inefficiency is caused by insufficient regulation, the mispricing may be caused by the investors who think the risk of Islamic stock in Thailand is still high and has not recovered after the crisis, so that they predict higher expected return compared to the actual return.…”

Section: Discussionmentioning

confidence: 75%

Mispricing on Islamic Stock Markets in ASEAN Countries

Prilitaningtyas¹,

Prasetyo²

2019

Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)

View full text Add to dashboard Cite

The purpose of this study is to detect any mispricing on Islamic stock in four countries which are the founding fathers of ASEAN (Indonesia, Malaysia, Singapore, and Thailand). Three-factor Asset Pricing Model [1] is employed in this study with daily individual stock price from June 2005 until December 2017, and later categorized into 25 portfolios based on their size and book-to-market equity. This study found no evidence of mispricing in Indonesia and Malaysia so that these Islamic stock markets are efficient. Different evidence was found in Singapore and Thailand as in those Islamic stock markets significant mispricing can be found in Thailand Islamic Stock Market and marginally significant mispricing in Singapore Islamic Stock Market, which indicates those markets are not efficient. Moreover, this study also found that Financial Crisis 2008 only has a significant effect in Indonesia and Thailand Islamic Stock Market. This paper gives new insight of Islamic Stock Market Efficiencies by focusing on Islamic stock in ASEAN which is a region dominated by emerging markets and this study also used the daily stock price of an individual stock and not index level data.

show abstract

“…DFA has the following interpretation: 0 < < 0,5 : anti-persistent series; = 0,5 series features random walk; 0,5 < < 1 persistent series. The function of this technique is to examine the relationship between values and + in differentiated moments (Sukpitak and Hengpunya, 2016;Guedes, Dionysus, Ferreira, and Zebende, 2017). Contemplate the dataset with = 1, .…”

Section: Methodsmentioning

confidence: 99%

The Impact of Covid-19 on Exchange Rate Volatility: An Econophysics Approach

Dias¹,

Santos²

2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

View full text Add to dashboard Cite

This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-GBP (0.56), US-EUR (0.53). On the other side, exchange rates US-RMB (0. 47), US-JPY (0. 43), US-CHF (0. 46), US-PHP (0. 38) show anti persistence, while the Detrended cross-correlation coefficient (𝑝𝐷𝐶𝐶𝐴) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficient (≌ 0,000 → ≌ 0.333), 7 strong non-trend cross correlation coefficients (0.666→ ≌ 1,000). In conclusion, we show that the exchange pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors; we also found that the exchange rates analyzed have characteristics of diversification, due to the low autocorrelation between markets. The objective of this study was not to analyze abnormal profitability by investors without incurring additional risk.

show abstract

Efficiency of Thai stock markets: Detrended fluctuation analysis

Cited by 29 publications

References 37 publications

Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak

Mispricing on Islamic Stock Markets in ASEAN Countries

The Impact of Covid-19 on Exchange Rate Volatility: An Econophysics Approach

Contact Info

Product

Resources

About