Weak Form Efficiency of Selected Asian Stock Exchanges
نویسنده
چکیده
The concept of efficient market hypothesis is important to better understand the functioning of the capital markets. The efficiency of the emerging markets assumes greater importance as the trend of investments is accelerating in these markets as a result of regulatory reforms and removal of other barriers for the international equity investments. This paper examines the weak form of the efficient market hypothesis for the selected Asian stock exchanges. The study used the daily, weekly and monthly observations over a period of 1 st Jan. 2003 to 31 st December 2011. The required data regarding closing prices of selected indexes has been collected from the yahoo finance website. In order to determine the validity of weak form efficiency of the Asian stock exchanges, auto-correlation, Box-Ljung statistics and runs test has been applied. The study concludes that Hangseng stock exchange follow random walk behaviour on the basis of runs test results but BSE and STI do not follow random behavior in case of daily prices. The study concludes that BSE and Hangseng is found to be weak form efficient.
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