Testing Weak form Market Efficiency: Empirical Evidence from Selected Asian Stock Markets

Asian Economic and Financial Review

Riyashad Ahmed^1¹ 

[1] Assistant Professor at BRAC Business School, BRAC University, Dhaka, Bangladesh Master of Business Administration (MBA) graduate (with dual major in Finance and Marketing) from BRAC Business School, BRAC University, Dhaka, Bangladesh^1

关键词: Weak form efficiency;    Asian market;    Random walk;    Arbitrage profit;    Unit Root Test;    Augmented Dickey- Fuller (ADF) Test;   

DOI  :  10.18488/journal.aefr.2018.86.790.798

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This empirical study examines stock market efficiency of selected fifteen countries from the Asian region using weekly stock returns from the year 2001 to 2017. In order to test the market efficiency, the following statistical methods were conducted on the realized returns: Auto Correlation, Q Statistics, Correlation Matrix, Unit Root Test, and Run Test. It is revealed that the weekly return is not normally distributed as the historical returns from the considering markets are negatively skewed. We came up to a conclusion that weekly returns do not follow the random walk as it rejects the null hypothesis. Therefore, it may be possible for the investors to gain an arbitrage profit by investing in any of the markets in consideration.

【 授权许可】

CC BY