TY - JFULL AU - Pei. P. Tan and Don. U.A. Galagedera and Elizabeth A.Maharaj PY - 2011/12/ TI - Are Asia-Pacific Stock Markets Predictable? Evidence from Wavelet-based Fractional Integration Estimator T2 - International Journal of Economics and Management Engineering SP - 1725 EP - 1730 VL - 5 SN - 1307-6892 UR - https://publications.waset.org/pdf/9775 PU - World Academy of Science, Engineering and Technology NX - Open Science Index 59, 2011 N2 - This paper examines predictability in stock return in developed and emergingmarkets by testing long memory in stock returns using wavelet approach. Wavelet-based maximum likelihood estimator of the fractional integration estimator is superior to the conventional Hurst exponent and Geweke and Porter-Hudak estimator in terms of asymptotic properties and mean squared error. We use 4-year moving windows to estimate the fractional integration parameter. Evidence suggests that stock return may not be predictable indeveloped countries of the Asia-Pacificregion. However, predictability of stock return insome developing countries in this region such as Indonesia, Malaysia and Philippines may not be ruled out. Stock return in the Thailand stock market appears to be not predictable after the political crisis in 2008. ER -