@article{ART001444920},
author={김지열},
title={An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -},
journal={Journal of Asia-Pacific Studies},
issn={1225-8539},
year={2009},
volume={16},
number={1},
pages={59-78},
doi={10.18107/japs.2009.16.1.004}
TY - JOUR
AU - 김지열
TI - An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -
JO - Journal of Asia-Pacific Studies
PY - 2009
VL - 16
IS - 1
PB - Institute of Global Affairs
SP - 59
EP - 78
SN - 1225-8539
AB - The studies until now are concluding that stock price in stock market follows random
walk process by rational expectation hypothesis and efficient market hypothesis developing
a lot of probability models.
However, random walk process in stock market has a lot of questions actually. The
main objective of this thesis is to test existence of the long-term memory effect of stock
markets in Southeast Asia. We examine the long memory properties in yield simultaneously
using the modified R/S analysis
For this purpose we investigate the statistical properties of Indonesia(JSX INDEX)․
Malaysia(KLSE COMPOSITE)․Philippines(PHS COMPOSITE), Singapore(STRAITS TIME IDX)․
Thailand(THAILAND SET) data for the period (1997. 7.-2004. 6.) in daily frequency.
We found that the Southeast Asia stock market exhibits the long memory process of
yield.
In conclusions, this thesis shows existence of the long-term memory effect of stock
markets in Southeast Asia.
KW - Southeast Asia;Stock Market;Long-Term Memory Effect;Modified R/S Analysis;Hurst
Exponent
DO - 10.18107/japs.2009.16.1.004
ER -
김지열. (2009). An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -. Journal of Asia-Pacific Studies, 16(1), 59-78.
김지열. 2009, "An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -", Journal of Asia-Pacific Studies, vol.16, no.1 pp.59-78. Available from: doi:10.18107/japs.2009.16.1.004
김지열 "An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -" Journal of Asia-Pacific Studies 16.1 pp.59-78 (2009) : 59.
김지열. An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -. 2009; 16(1), 59-78. Available from: doi:10.18107/japs.2009.16.1.004
김지열. "An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -" Journal of Asia-Pacific Studies 16, no.1 (2009) : 59-78.doi: 10.18107/japs.2009.16.1.004
김지열. An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -. Journal of Asia-Pacific Studies, 16(1), 59-78. doi: 10.18107/japs.2009.16.1.004
김지열. An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -. Journal of Asia-Pacific Studies. 2009; 16(1) 59-78. doi: 10.18107/japs.2009.16.1.004
김지열. An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -. 2009; 16(1), 59-78. Available from: doi:10.18107/japs.2009.16.1.004
김지열. "An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -" Journal of Asia-Pacific Studies 16, no.1 (2009) : 59-78.doi: 10.18107/japs.2009.16.1.004
