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An Empirical Study on the Long-Term Memory Effect of Economic in Southeast Asia - Focusing on Stock Earning Rate -

김지열 1

1대구보건대학

Candidate

ABSTRACT

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.

Citation status

* References for papers published after 2022 are currently being built.