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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...

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Main Authors: Phanrattinon, Nattawut, Lenbury, Yongwimon, Misiran, Masnita, Phewchean, Nattakorn
Format: Article
Language:English
Published: NAUN 2020
Subjects:
QA Mathematics
Online Access:https://repo.uum.edu.my/id/eprint/30897/1/IJCSSP%2014%202020%20807-814.pdf
https://repo.uum.edu.my/id/eprint/30897/
https://www.naun.org/main/NAUN/circuitssystemssignal/2020/c122005-dam.pdf
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spelling my.uum.repo.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
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutional Repository
url_provider http://repo.uum.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Phanrattinon, Nattawut
Lenbury, Yongwimon
Misiran, Masnita
Phewchean, Nattakorn
Weak form market efficiency: A case study of Asia-Pacific markets
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
format Article
author Phanrattinon, Nattawut
Lenbury, Yongwimon
Misiran, Masnita
Phewchean, Nattakorn
author_facet Phanrattinon, Nattawut
Lenbury, Yongwimon
Misiran, Masnita
Phewchean, Nattakorn
author_sort Phanrattinon, Nattawut
title 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_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_sort weak form market efficiency: a case study of asia-pacific markets
publisher NAUN
publishDate 2020
url https://repo.uum.edu.my/id/eprint/30897/1/IJCSSP%2014%202020%20807-814.pdf
https://repo.uum.edu.my/id/eprint/30897/
https://www.naun.org/main/NAUN/circuitssystemssignal/2020/c122005-dam.pdf
_version_ 1802980293931433984
score 13.211869

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