Are ASEAN stock markets efficients? Evidence from univariate and multivariate variance ratio tests

Francesco Guidi and Rakesh Gupta

No 7278, Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre

Abstract: The aim of this paper is to investigate the Efficient Market Hypotheis (EMH) for Association of South-East Asian Nations (ASEAN) stock markets for the period January 2000 through April 2011. We test whether these markets are efficients individually and collectively using number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. This study finds stock markets in Singapore and Thailand are weak form efficients. We also find that collectively these markets do not follow the same trend; this means that prices from one market are not predictable in terms of information in another. Findings of this study are of importance for policy makers of these countries who attempt to introduce regulations to make their financial markets more attractive for investors from other countries.

Keywords: ASEAN; efficient market hypothesis; variance ratio; cointegration (search for similar items in EconPapers)
Date: 2011
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