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A note on weak form market efficiency in security prices: evidence from the Hong Kong stock exchange

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  • Kwong-C. Cheung
  • J. Andrew Coutts
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    Abstract

    This paper employs variance ratio tests with both homoscedastic and heteroscedastic error variances to examine the random walk hypothesis for the Hang Seng Index on the Hong Kong Stock Exchange. The empirical investigation leads us to suggest that the Hang Seng follows a random walk model and consequently that the index is weak form efficient. This conclusion offers both confirmatory and conflicting support for the conclusions of previous research, which has investigated the presence of random walks in the indices of both developed and emerging markets.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048501750237865&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 8 (2001)
    Issue (Month): 6 ()
    Pages: 407-410

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    Handle: RePEc:taf:apeclt:v:8:y:2001:i:6:p:407-410

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    Cited by:
    1. Chiang, Shu-Mei & Lee, Yen-Hsien & Su, Hsin-Mei & Tzou, Yi-Pin, 2010. "Efficiency tests of foreign exchange markets for four Asian Countries," Research in International Business and Finance, Elsevier, vol. 24(3), pages 284-294, September.
    2. Eduardo Jose Araujo Lima & Benjamin Miranda Tabak, 2004. "Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 255-258.
    3. DePenya, Francisco J. & Gil-Alana, Luis A., 2007. "Serial correlation in the Spanish Stock Market," Global Finance Journal, Elsevier, vol. 18(1), pages 84-103.
    4. Gozbasi, Onur & Kucukkaplan, Ilhan & Nazlioglu, Saban, 2014. "Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests," Economic Modelling, Elsevier, vol. 38(C), pages 381-384.
    5. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology.

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