Comparison of Weak Form of Market Efficiency of Developed Stock Markets with Emerging Asian Markets

Aman Srivastava

Paradigm, 2007, vol. 11, issue 1, 13-19

Abstract: Market efficiency of the stock markets has been a great concern for researchers for a long time. Post 1995 witnessed a series of reforms in emerging capital market. After more than a decade of starting the reforms, now, it is time to analyse the efficiency in emerging stock markets. A vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the Asian developing and developed countries' markets. This study attempts to compare the weak form of efficiency of emerging Asian stock markets with developed stock markets. The paper is an attempt to analyse the competitive position of emerging stock markets. In this paper, the market efficiency of emerging stock markets and developed markets have been analysed and compared. The integration of emerging stock markets with emerging and developed stock markets has also been analysed. The concept of auto-correlation, runs test, and Von Neumann ratio (VnR) has been used for doing this analysis. The results of this research suggest the presence of weak form of efficiency in sampled stock markets. The findings of the research suggest that although the state of the weak form of efficiency is same in emerging stock markets, more reforms and developments are required in emerging economies to make their capital markets globally competitive.

Keywords: market effeciency; stock markets; emerging market. (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:11:y:2007:i:1:p:13-19

DOI: 10.1177/0971890720070103

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