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Please use this identifier to cite or link to this item: http://repository.li.mahidol.ac.th/dspace/handle/123456789/60450
Title: Weak form market efficiency: A case study of Asia-Pacific markets
Authors: Nattawut Phanrattinon
Yongwimon Lenbury
Masnita Misiran
Nattakorn Phewchean
Mahidol University
Christian-Albrechts-Universität zu Kiel
Universiti Utara Malaysia
PERDO
Keywords: Computer Science;Engineering
Issue Date: 1-Jan-2020
Citation: International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 807-814
Abstract: © 2020, North Atlantic University Union NAUN. All rights reserved. This study aims to test the weak form market efficiency for five developed markets, nine emerging markets and three frontier markets in the Asia-Pacific region. The tools applied in the test of this form of market efficiency are serial correlation test, runs test and unit root test. The analysis is performed by using logarithm return for the period of 2008 to 2018. For all markets in our research, the results strongly reject the weak form efficiency when the unit root tests are carried out, while the results from the Durbin-Watson test are in complete contrast. However, in the runs test and variance ratio test, the results provide mixed evidences of weak form efficiency of the markets.
URI: http://repository.li.mahidol.ac.th/dspace/handle/123456789/60450
metadata.dc.identifier.url: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85097165829&origin=inward
ISSN: 19984464
Appears in Collections:Scopus 2020

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