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  • Market Efficiency in ASEAN region: Evidence from Multivariate and Cointegration tests

    Author(s)
    Guidi, F
    Gupta, R
    Griffith University Author(s)
    Gupta, Rakesh
    Year published
    2013
    Metadata
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    Abstract
    The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations' (ASEAN) stock markets for the period January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. We find 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 ...
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    The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations' (ASEAN) stock markets for the period January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. We find 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. Keywords: ASEAN; Efficient Market Hypothesis; variance ratio
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    Journal Title
    Applied Financial Economics
    Volume
    23
    Issue
    4
    DOI
    https://doi.org/10.1080/09603107.2012.718064
    Subject
    Applied economics
    Banking, finance and investment
    Investment and risk management
    Publication URI
    http://hdl.handle.net/10072/57307
    Collection
    • Journal articles

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