A Study of Market Efficiency in Emerging Markets Using Improved Statistical Techniques

James Nguyen and Richard Parsons

Emerging Markets Finance and Trade, 2022, vol. 58, issue 7, 2004-2016

Abstract: This article helps resolve the current unsatisfying and inclusive studies covering the efficiency of stock markets in developing countries. Previous studies have used limited data and partial statistical tests. We use a large, unique data set, across 12 countries, and a comprehensive set of traditional and recent statistical methods as well as powerful multiple-break unit root and spectral analysis tests, many of which have never been used to evaluate the efficient market hypothesis (EMH) in emerging markets. Our results confirm the rejection of the EMH for emerging markets. Our findings have important implications for investors and policy makers, suggesting the possibility for excess profits in these markets.

Date: 2022
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DOI: 10.1080/1540496X.2021.1949981

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