Publication: Weak form market efficiency: A case study of Asia-Pacific markets
Issued Date
2020-01-01
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ISSN
19984464
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2-s2.0-85097165829
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Mahidol University
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SCOPUS
Bibliographic Citation
International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 807-814
Suggested Citation
Nattawut Phanrattinon, Yongwimon Lenbury, Masnita Misiran, Nattakorn Phewchean Weak form market efficiency: A case study of Asia-Pacific markets. International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 807-814. doi:10.46300/9106.2020.14.104 Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/60450
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Title
Weak form market efficiency: A case study of Asia-Pacific markets
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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.