2011-13: Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests (Working paper)
View/ Open
Author(s)
Guidi, Francesco
Gupta, Rakesh
Griffith University Author(s)
Year published
2011
Metadata
Show full item recordAbstract
The aim of this paper is to investigate the Efficient Market Hypothesis (EMH) for Association of South-East Asian Nations (ASEAN) stock markets for the period January 2000 through April 2011. We test whether these markets are efficient individually and collectively using number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. This study finds stock markets in Singapore and Thailand are weak form efficient. We also find that collectively these markets do not follow the same trend; this means that prices from one market are not predictable in terms of information ...
View more >The aim of this paper is to investigate the Efficient Market Hypothesis (EMH) for Association of South-East Asian Nations (ASEAN) stock markets for the period January 2000 through April 2011. We test whether these markets are efficient individually and collectively using number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. This study finds stock markets in Singapore and Thailand are weak form efficient. We also find that collectively these markets do not follow the same trend; this means that prices from one market are not predictable in terms of information in another. Findings of this study are of importance for policy makers of these countries who attempt to introduce regulations to make their financial markets more attractive for investors from other countries.
View less >
View more >The aim of this paper is to investigate the Efficient Market Hypothesis (EMH) for Association of South-East Asian Nations (ASEAN) stock markets for the period January 2000 through April 2011. We test whether these markets are efficient individually and collectively using number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. This study finds stock markets in Singapore and Thailand are weak form efficient. We also find that collectively these markets do not follow the same trend; this means that prices from one market are not predictable in terms of information in another. Findings of this study are of importance for policy makers of these countries who attempt to introduce regulations to make their financial markets more attractive for investors from other countries.
View less >
Copyright Statement
Copyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
Note
Finance
Subject
G22 - Insurance; Insurance Companies
G14 - Information and Market Efficiency; Event Studies
G12 - Asset Pricing; Trading volume; Bond Interest Rates
ASEAN
Efficient market hypothesis
Variance ratio
Cointegration