Testing weak-form market efficiency in the Stock Exchange of Thailand

Nattawut Jenwittayaroje

Global Business and Economics Review, 2021, vol. 24, issue 3, 211-224

Abstract: This research tests the weak-form market efficiency, one of the most important financial theories, on the stock indices of the Stock Exchange of Thailand (SET), namely, SET, SET50, SET100, SETHD, sSET, and MAI indices during the period from January 2002 to May 2019. This study employs three well-known weak-form market efficiency tests: autocorrelation tests, runs tests, and variance ratio tests (Lo and MacKinlay, 1988). The results show that SET, SET50, SET100, and SETHD indices become more weak-form efficient over time, suggesting that any strategy based on past returns to predict future returns is futile. However, sSET and MAI indices are not weak-form efficient, and show no sign of improved efficiency over time, thereby enabling the creation of trading strategies to earn abnormal returns, using past returns to predict future returns.

Keywords: weak-form market efficiency; random walk; stock index; total return; Stock Exchange of Thailand; SET; Thailand. (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:24:y:2021:i:3:p:211-224

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