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Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests

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  • Francesco Guidi
  • Rakesh Gupta
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.
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  • Francesco Guidi & Rakesh Gupta, 2011. "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance finance:201113, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201113
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390316/2011-13-are-asean-stock-market-efficient-evidence-from-univariate-multivariate-variance-radio-tests.pdf
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    2. Dhanraj Sharma, 2016. "Fama Decomposition Analysis of Selected Companies of Bombay Stock Exchange in India," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-1.
    3. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    4. Arshad, Shaista & Rizvi, Syed Aun R., 2015. "The troika of business cycle, efficiency and volatility. An East Asian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 158-170.
    5. Thanh Trung Le & Anh Tram Luong, 2020. "A Test of Return Predictability in the Vietnamese Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(2), pages 390-404, April.
    6. Abdelbari El Khamlichi & Kabir Sarkar Humayun & Mohamed Arouri & Frédéric Teulon, 2014. "Are Islamic equity indices more efficient than their conventional counterparts ? Evidence from major global index families," Working Papers 2014-91, Department of Research, Ipag Business School.
    7. repec:ipg:wpaper:2014-091 is not listed on IDEAS

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    More about this item

    Keywords

    ASEAN; Efficient market hypothesis; Variance ratio; Cointegration;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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