Weak form market efficiency: A case study of Asia-Pacific markets-Reference-Cited by-同舟云学术

Weak form market efficiency: A case study of Asia-Pacific markets

Published:2020-11-19 Issue: Volume:14 Page:807-814
ISSN:1998-4464
Container-title:International Journal of Circuits, Systems and Signal Processing
language:en
Short-container-title:

Author:

Phanrattinon Nattawut¹,Lenbury Yongwimon²,Misiran Masnita³,Phewchean Nattakorn⁴

Affiliation:

1. Department of Mathematics, Christian-Albrechts-Universität zu Kiel , 24118 Kiel, Germ

2. Department of Mathematics, Faculty of Science, Mahidol University, Rama 6 Rd., Bangkok 10400, Thailand and is with the Centre of Excellence in Mathematics, PERDO, Thailand

3. School of Quantitative Sciences, UUM College of Arts and Sciences, Universiti Utara Malaysia

4. Department of Mathematics, Faculty of Science, Mahidol University, Rama 6 Rd., Bangkok 10400, Thailand

Abstract

This study aims to test the weak form market efficiency for five developed markets, nine emerging markets and three frontier markets in the Asia-Pacific region. The tools applied in the test of this form of market efficiency are serial correlation test, runs test and unit root test. The analysis is performed by using logarithm return for the period of 2008 to 2018. For all markets in our research, the results strongly reject the weak form efficiency when the unit root tests are carried out, while the results from the Durbin-Watson test are in complete contrast. However, in the runs test and variance ratio test, the results provide mixed evidences of weak form efficiency of the markets

Publisher

North Atlantic University Union (NAUN)

Subject

Electrical and Electronic Engineering,Signal Processing

Reference16 articles.

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5. A. C. Worthington and H. Higgs, “Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour,” Accounting Research Journal, Vol.19, No.1, 2006, pp.54-63.

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