Weak form market efficiency: A case study of Asia-Pacific markets
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...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
NAUN
2020
|
| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/30897/1/IJCSSP%2014%202020%20807-814.pdf |
| _version_ | 1803629998358134784 |
|---|---|
| author | Phanrattinon, Nattawut Lenbury, Yongwimon Misiran, Masnita Phewchean, Nattakorn |
| author_facet | Phanrattinon, Nattawut Lenbury, Yongwimon Misiran, Masnita Phewchean, Nattakorn |
| author_sort | Phanrattinon, Nattawut |
| collection | UUM |
| description | 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 |
| first_indexed | 2024-07-04T06:46:45Z |
| format | Article |
| id | uum-30897 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:45Z |
| publishDate | 2020 |
| publisher | NAUN |
| record_format | dspace |
| spelling | uum-308972024-06-23T09:03:40Z https://repo.uum.edu.my/id/eprint/30897/ Weak form market efficiency: A case study of Asia-Pacific markets Phanrattinon, Nattawut Lenbury, Yongwimon Misiran, Masnita Phewchean, Nattakorn QA Mathematics 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 NAUN 2020 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/30897/1/IJCSSP%2014%202020%20807-814.pdf Phanrattinon, Nattawut and Lenbury, Yongwimon and Misiran, Masnita and Phewchean, Nattakorn (2020) Weak form market efficiency: A case study of Asia-Pacific markets. International Journal of Circuits, Systems and Signal Processing, 14. pp. 807-814. ISSN : 1998-4464 https://www.naun.org/main/NAUN/circuitssystemssignal/2020/c122005-dam.pdf 10.46300/9106.2020.14.104 10.46300/9106.2020.14.104 10.46300/9106.2020.14.104 |
| spellingShingle | QA Mathematics Phanrattinon, Nattawut Lenbury, Yongwimon Misiran, Masnita Phewchean, Nattakorn Weak form market efficiency: A case study of Asia-Pacific markets |
| title | Weak form market efficiency: A case study of Asia-Pacific markets |
| title_full | Weak form market efficiency: A case study of Asia-Pacific markets |
| title_fullStr | Weak form market efficiency: A case study of Asia-Pacific markets |
| title_full_unstemmed | Weak form market efficiency: A case study of Asia-Pacific markets |
| title_short | Weak form market efficiency: A case study of Asia-Pacific markets |
| title_sort | weak form market efficiency a case study of asia pacific markets |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30897/1/IJCSSP%2014%202020%20807-814.pdf |
| work_keys_str_mv | AT phanrattinonnattawut weakformmarketefficiencyacasestudyofasiapacificmarkets AT lenburyyongwimon weakformmarketefficiencyacasestudyofasiapacificmarkets AT misiranmasnita weakformmarketefficiencyacasestudyofasiapacificmarkets AT phewcheannattakorn weakformmarketefficiencyacasestudyofasiapacificmarkets |