Market efficiency in the ASEAN region: Evidence from multivariate and cointegration tests
Guidi, Francesco and Gupta, Rakesh (2012) Market efficiency in the ASEAN region: Evidence from multivariate and cointegration tests. Applied Financial Economics, 23 (4). pp. 265-274. ISSN 0960-3107 (Print), 1466-4305 (Online) (doi:10.1080/09603107.2012.718064)Full text not available from this repository.
The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations’ (ASEAN) stock markets for the period from January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. We find stock markets in Singapore and Thailand 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.
|Additional Information:|| First published online: 30 August 2012.  Published in print: 2013.  Published as: Applied Financial Economics, (2013), Vol. 23, (4), pp. 265-274.|
|Uncontrolled Keywords:||ASEAN, Efficient Market Hypothesis, (EMH), variance ratio, cointegration|
|Subjects:||H Social Sciences > HB Economic Theory|
|Faculty / Department / Research Groups:||Faculty of Business > Greenwich Political Economy Research Centre (GPERC)
Faculty of Business > Department of International Business & Economics
|Last Modified:||02 Nov 2016 13:52|
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