Does market capitalisation matters? Tests of weak-form efficient market hypothesis for Thai stock market

Ramede Sodsai and Karoon Suksonghong

International Journal of Monetary Economics and Finance, 2018, vol. 11, issue 3, 235-242

Abstract: This study contributes to the literature of stock market efficiency by examining the weak-form efficient hypothesis for Thai stock market, especially after the subprime mortgage crisis in which the restricted financial policies issued by Thai government has been implemented. Thus, the full sample and sub-sample windows covering pre- and post-subprime financial crisis periods are investigated. The newly developed multiple variance ratio tests based on the wild bootstrap together with the Lo-MacKinlay and the Chow-Denning variance ratio tests are employed for testing the hypothesis. In addition, sub-indices based upon market capitalisation are categorised for further investigation on the impact of firm-sized on efficiency. The results reveal that, for the market level, the Stock Exchange of Thailand exhibits the market efficiency during the period of pre- and post-subprime mortgage crisis. For the sub-indices point of view, however, the small-capitalisation index provides some evidences against a weak-form efficiency.

Keywords: market efficiency; random walk; multiple variance ratio test; market capitalisation; SET; Stock Exchange of Thailand. (search for similar items in EconPapers)
Date: 2018
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