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

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Abstract

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

Item Type:	Article
Uncontrolled Keywords:	Asia-Pacific markets, jnvestment, stock markets, weak form market efficiency
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Mdm. Sarkina Mat Saad @ Shaari
Date Deposited:	23 Jun 2024 09:03
Last Modified:	23 Jun 2024 09:03
URI:	https://repo.uum.edu.my/id/eprint/30897

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