An Application of Variance-Ratio Test of Five Asian Stock Markets

M. Imam Alam, Tanweer Hasan and Palani-Rajan Kadapakkam
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M. Imam Alam: University of Northern Iowa, Cedar Falls, IA, USA
Tanweer Hasan: W.E.H.C.B.A., Roosevelt University, Schaumburg, IL, USA
Palani-Rajan Kadapakkam: University of Texas at San Antonio, San Antonio, TX, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 1999, vol. 02, issue 03, 301-315

Abstract: In the present study the variance-ratio test developed by Lo and MacKinlay (1988, and 1989) is applied to monthly stock index returns of five Asian markets that are in different stages of development. The markets examined are Bangladesh, Hong Kong, Malaysia, Sri Lanka and Taiwan. Although previous studies have examined the efficiency issues of the markets in Hong Kong, Malaysia, Sri Lanka and Taiwan, the empirical evidence is often contradictory. The current study looks at the efficiency issues of these markets over a sufficiently long period of time (November 1986 — December 1995) using more appropriate methodology and type of data. Also, this study is the first to provide new evidence on an emerging market in Asia — Bangladesh. Results reported in this study indicate that the index return series of all the sample markets except Sri Lanka do follow a random walk.

JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (18)

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DOI: 10.1142/S0219091599000175

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