Weak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behaviour

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Title Weak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behaviour
Author Worthington, Andrew Charles; Higgs, Helen
Journal Name Accounting Research Journal
Editor Robert Faff
Year Published 2006
Place of publication Brisbane
Publisher QUT
Abstract This paper examines the weak-form market efficiency of Asian equity markets. Daily returns for ten emerging (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand) and five developed markets (Australia, Hong Kong, Japan, New Zealand and Singapore) are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The results, which are in broad agreement across the approaches employed, indicate that none of the emerging markets are characterised by random walks and hence are not weak-form efficient, while only developed markets in Hong Kong, New Zealand and Japan are consistent with the most stringent random walk criteria.
Peer Reviewed Yes
Published Yes
Publisher URI http://www.bus.qut.edu.au/
Copyright Statement Copyright 2006 Queensland University of Technology. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
Volume 19
Issue Number 1
Edition 2006
Page from 54
Page to 63
ISSN 1030-9616
Date Accessioned 2007-03-02
Date Available 2013-02-07T04:55:43Z
Language en_US
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject PRE2009-Econometric and Statistical Methods
URI http://hdl.handle.net/10072/13937
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1

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