Hello Hisham,

Thanks for your comment. Yes, the Hurst exponent calculations for the S&P 500 will appear in a subsequent post here on CFA Institute's The Enterprising Investor blog.

In order to use rescaled range analysis for the Colombo Stock Exchange you simply need long time series of data. I would recommend daily closing prices over the course of at least a decade. Then follow the steps I describe in the above blog post. Also, there is a link in the above post that allows you to download an Excel spreadsheet that demonstrates each of the calculations.

A Hurst exponent of less than 0.5 suggests mean reversion. The lower the Hurst exponent the greater the mean reversion.

I hope that helps!

With smiles,

Jason