Efficient market hypothesis : evidence from asean-5 countries
This study applies a number of univariate unit root tests (conventional unit root tests and Lagrange Multiplier (LM) unit root test with two breaks) for time series data to determine the efficient market hypothesis (EMH) in five ASEAN countries which consists of Indonesia, Malaysia, Philippines,...
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| Main Author: | |
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| Format: | Final Year Project Report / IMRAD |
| Language: | en en |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2011
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| Online Access: | http://ir.unimas.my/id/eprint/6412/1/Yeong%20Der%2824%20pgs%29.pdf http://ir.unimas.my/id/eprint/6412/4/Yeong%20Der%28fulltext%29.pdf http://ir.unimas.my/id/eprint/6412/ |
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| Summary: | This study applies a number of univariate unit root tests (conventional unit root tests
and Lagrange Multiplier (LM) unit root test with two breaks) for time series data to
determine the efficient market hypothesis (EMH) in five ASEAN countries which
consists of Indonesia, Malaysia, Philippines, Thailand and Singapore. The daily
closing price spanning from January 2, 1997 until December 31, 2010 for each of the
countries is utilized the stationarity tests. The study found that both the conventional
unit root tests and LM unit root test with two breaks failed to reject the random walk
hypothesis. This implies all the tested stock markets are non-stationary and efficient
under weak form hypothesis. On the other hand, the break dates detected
endogenously under LM unit root test occur around the actual market crash date. |
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