Efficiency of Thai stock markets: Detrended fluctuation analysis

•The results obtained support notions that emerging markets are becoming more efficient.•The first time of using econophysics to analyse market efficiency of MAI.•The research outcomes take side with that market capitalization plays an important role in market efficiency.

The evolution of Hurst exponent of SET index over time, as a measure of market efficiency, is examined by DFA method. It is found that, during the study period, Hurst exponent tends to decrease to the ideal value 0.5, i.e., the market becomes more efficient. This finding readily conforms to the assertion that emerging markets are becoming more efficient. Additionally, the development of Hurst exponent during November 2006 to March 2015 of SET index compared to MAI index is investigated. The result shows that the deviation of the Hurst exponent from 0.5 for the MAI index is larger than that of the SET index. This implies that SET is more efficient than MAI and thus supports the assumption that market capitalization has significant influence on market efficiency.