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  • Weak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behaviour

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    Author(s)
    Worthington, Andrew
    Higgs, Helen
    Griffith University Author(s)
    Higgs, Helen
    Year published
    2006
    Metadata
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    Abstract
    This paper examines the weak-form market efficiency of Asian equity markets. Daily returns for ten emerging (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand) and five developed markets (Australia, Hong Kong, Japan, New Zealand and Singapore) are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The results, which are in broad agreement across the approaches employed, indicate that none of the emerging markets ...
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    This paper examines the weak-form market efficiency of Asian equity markets. Daily returns for ten emerging (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand) and five developed markets (Australia, Hong Kong, Japan, New Zealand and Singapore) are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The results, which are in broad agreement across the approaches employed, indicate that none of the emerging markets are characterised by random walks and hence are not weak-form efficient, while only developed markets in Hong Kong, New Zealand and Japan are consistent with the most stringent random walk criteria.
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    Journal Title
    Accounting Research Journal
    Volume
    19
    Issue
    1
    Publisher URI
    http://www.emeraldinsight.com/1030-9616.htm
    Copyright Statement
    © 2006 Queensland University of Technology. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/13937
    Collection
    • Journal articles

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