The Identification of Long Memory Process in the Asean-4 Stock Markets by Fractional and Multifractional Brownian Motion

The Philippine Statistician, Vol. 55, Nos. 1-2, pp. 65-83, 2006

19 Pages Posted: 6 Sep 2006

See all articles by Rolando Danganan Navarro

Rolando Danganan Navarro

University of the Philippines

Ronald Tamangan

University of the Philippines, Los Baños - School of Statistics

Niya Guba-Natan

University of the Philippines, Los Baños - School of Statistics

Eleanore V. Ramos

UP Diliman School of Statistics; Statistical Research and Training Center

Adolfo de Guzman

University of the Philippines, Los Baños - School of Statistics

Abstract

This research identifies the presence of long memory given return series of the stock markets in the ASEAN-4 countries, namely, Indonesia, Malaysia, the Philippines and Thailand. Daily stock prices from 1994 to 2004, which were neither adjusted for dividends nor inflation, were employed in the study. The Global Hurst Parameter is estimated to provide an indication of long memory. The sliding window method, quarterly, and annual estimations of the Hurst parameter were also undertaken to explore further on the behavior of the financial time series in question. The computed Hurst parameters across the windowed data, quarterly, and annual data has been shown to be time-varying. Stock prices behavior in this region is mildly persistent indicated by the following Global Hurst Parameters: Indonesia, 0.61, Malaysia, 0.58, the Philippines, 0.59, Thailand, 0.59.

Keywords: Long Memory Processes, Multifractional Brownian Motion, Fractional Brownian Motion, Asian Stock Markets

JEL Classification: C10, C13, C19, C22, C40, C45, C49, C50, C51, C52

Suggested Citation

Navarro, Rolando Danganan and Tamangan, Ronald and Guba-Natan, Niya and Ramos, Eleanore V. and Ramos, Eleanore V. and de Guzman, Adolfo, The Identification of Long Memory Process in the Asean-4 Stock Markets by Fractional and Multifractional Brownian Motion. The Philippine Statistician, Vol. 55, Nos. 1-2, pp. 65-83, 2006, Available at SSRN: https://ssrn.com/abstract=928184

Rolando Danganan Navarro

University of the Philippines ( email )

Diliman
Quezon City, 1101
Philippines

Ronald Tamangan

University of the Philippines, Los Baños - School of Statistics ( email )

Magsaysay St.
Diliman, Quezon City Philippines 1101
Philippines

Niya Guba-Natan

University of the Philippines, Los Baños - School of Statistics ( email )

Magsaysay St.
Diliman, Quezon City Philippines 1101
Philippines

Eleanore V. Ramos

UP Diliman School of Statistics ( email )

Magsaysay St.
Diliman, Quezon City Philippines 1101
Philippines

Statistical Research and Training Center ( email )

J and S Building
Kalayaan Avenue
Quezon City, Metro Manila
Philippines

Adolfo De Guzman

University of the Philippines, Los Baños - School of Statistics ( email )

Magsaysay St.
Diliman, Quezon City Philippines 1101
Philippines

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
198
Abstract Views
1,398
Rank
277,211
PlumX Metrics