African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4094

Full Length Research Paper

A short range dependence adjusted hurst exponent evaluation for Malaysian and Indonesian financial markets

Chin Wen Cheong1* and Zaidi Isa2
  1Research Centre of Mathematical Sciences, Multimedia University, 63100 Cyberjaya, Selangor, Malaysia. 2DELTA, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 46100 Bangi, Selangor, Malaysia.
Email: [email protected]

  •  Accepted: 27 January 2011
  •  Published: 04 April 2011

Abstract

 

This study proposed a methodology to measure the Hurst exponent with the adjustment of short-range dependence in the financial markets. The possible short-range dependence is adjusted by heteroscedastic models.  Two emerging financial markets have been selected to conduct the adjusted Hurst exponent evaluations for the periods before, during and after the Asian financial crisis.  After the short-range dependence adjustment, the empirical results indicated weak and no evidence of long-range dependence in most of the selected markets.  As a result, the proposed method is able to handle the possible spurious long range dependence volatility in the financial markets. 

 

Key words: Hurst exponents, long-range dependence, ARCH model, financial time series.