2011-13: Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests (Working paper)
File version
Author(s)
Gupta, Rakesh
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Akimov, Alexandr
Date
Size
18 pages
File type(s)
Location
License
Abstract
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.
Journal Title
Conference Title
Book Title
Edition
Volume
Issue
Thesis Type
Degree Program
School
Publisher link
DOI
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights 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).
Item Access Status
Note
Finance
Access the data
Related item(s)
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