Show simple item record

dc.contributor.authorWorthington, Andrew
dc.contributor.authorHiggs, Helen
dc.contributor.editorRobert Faff
dc.date.accessioned2017-05-03T15:14:06Z
dc.date.available2017-05-03T15:14:06Z
dc.date.issued2006
dc.identifier.issn10309616
dc.identifier.urihttp://hdl.handle.net/10072/13937
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent41894 bytes
dc.format.extent174038 bytes
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherQUT
dc.publisher.placeBrisbane
dc.publisher.urihttp://www.emeraldinsight.com/1030-9616.htm
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom54
dc.relation.ispartofpageto63
dc.relation.ispartofedition2006
dc.relation.ispartofissue1
dc.relation.ispartofjournalAccounting Research Journal
dc.relation.ispartofvolume19
dc.rights.retentionY
dc.subject.fieldofresearchAccounting, Auditing and Accountability
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode1501
dc.subject.fieldofresearchcode1502
dc.titleWeak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behaviour
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 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.
gro.date.issued2015-01-29T01:31:59Z
gro.hasfulltextFull Text
gro.griffith.authorHiggs, Helen


Files in this item

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record