Are ASEAN stock markets efficients? Evidence from univariate and multivariate variance ratio tests
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Guidi, Francesco 
ORCID: https://orcid.org/0000-0002-2682-189X and Gupta, Rakesh
(2011)
Are ASEAN stock markets efficients? Evidence from univariate and multivariate variance ratio tests.
Discussion Paper.
Griffith University, Brisbane, Australia.
Abstract
The aim of this paper is to investigate the Efficient Market Hypotheis (EMH) for Association of South-East Asian Nations (ASEAN) stock markets for the period January 2000 through April 2011. We test whether these markets are efficients individually and collectively using number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. This study finds stock markets in Singapore and Thailand are weak form efficients. 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. Findings of this study are of importance for policy makers of these countries who attempt to introduce regulations to make their financial markets more attractive for investors from other countries.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Additional Information: | [1] Copyright © 2010 by author(s). [2] Discussion Paper Series in Finance, ISSN 1836-8123. [3] Discussion paper - part of the Discussion Paper Series in Finance, published by the Department of Accounting, Finance and Economics at the Griffith Business School, Brisbane, Australia. The discussion papers represent work in progress on a range of finance and financial planning issues and are published on the departmental website. [4] Paper No: 2011-13. |
| Uncontrolled Keywords: | ASEAN, efficient market hypothesis, variance ratio, cointegration |
| Subjects: | H Social Sciences > HB Economic Theory |
| Faculty / School / Research Centre / Research Group: | Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Greenwich Political Economy Research Centre (GPERC) Faculty of Business > Department of International Business & Economics |
| Related URLs: | |
| Last Modified: | 04 Aug 2021 16:32 |
| URI: | http://gala.gre.ac.uk/id/eprint/7278 |
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