Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets

Jeffrey E. Jarrett

Management Research Review, 2010, vol. 33, issue 12, 1128-1139

Abstract: Purpose - The purpose of this paper is to indicate the existence of certain time series characteristics in daily stock returns of four small Asian (Pacific basin) financial markets. It aims to study efficient capital markets (efficient markets hypothesis (EMH)) as results may infer that there are predictable properties of the time series of prices of traded securities on organized markets in Singapore, Malaysia, Korea and Indonesia. Design/methodology/approach - The paper analyses daily variations in financial market data obtained from the Sandra Ann Morsilli Pacific‐basin Capital Markets Research Center (PACAP). Findings - The weak form efficiency test example examines the wide range of trading rules available to common investors. Some theorists try to convince everyone that the weak form of EMH is acceptable due to the weight of academic opinion. The paper finds that for short‐term (daily) changes, the markets of four of the smaller Pacific‐basin stock markets have predictable properties, which leads to the conclusion that the weak‐form EMH does not hold for these markets. Research limitations/implications - The study is limited to those firms and exchanges studied and the time period covered. Originality/value - There have been all too few studies of these small financial markets up to now and there is no other study utilizing these data on the Pacific basin (Asia). The results are unique and original.

Keywords: Capital markets; Pacific region; Stock markets; Time series analysis; Economic returns; South East Asia (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:mrrpps:v:33:y:2010:i:12:p:1128-1139

DOI: 10.1108/01409171011092185

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