Market efficiency in the ASEAN region: Evidence from multivariate and cointegration tests

Francesco Guidi and Rakesh Gupta

No 8791, Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre

Abstract: The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations’ (ASEAN) stock markets for the period from January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. We find stock markets in Singapore and Thailand weak form efficient. 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.

Keywords: ASEAN; Efficient Market Hypothesis; (EMH); variance ratio; cointegration (search for similar items in EconPapers)
Date: 2012-08-30
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Published in Applied Financial Economics 4.23(2012): pp. 265-274

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Journal Article: Market efficiency in the ASEAN region: evidence from multivariate and cointegration tests (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:gpe:wpaper:8791

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