Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Efficient Market Hypothesis Revisited: Evidence From The Five Small Open Asean Stock Markets

Contents:

Author Info

  • QAISER MUNIR

    (School of Business and Economics, Universiti Malaysia Sabah, Locked Bag 2073, 88999 Kota Kinabalu, Sabah, Malaysia)

  • KOK SOOK CHING

    (School of Business and Economics, Universiti Malaysia Sabah, Locked Bag 2073, 88999 Kota Kinabalu, Sabah, Malaysia)

  • FUMITAKA FUROUKA

    (School of Business and Economics, Universiti Malaysia Sabah, Locked Bag 2073, 88999 Kota Kinabalu, Sabah, Malaysia)

  • KASIM MANSUR

    (School of Business and Economics, Universiti Malaysia Sabah, Locked Bag 2073, 88999 Kota Kinabalu, Sabah, Malaysia)

Abstract

The efficient market hypothesis (EMH), which suggests that returns of a stock market are unpredictable from historical price changes, is satisfied when stock prices are characterized by a random walk (unit root) process. A finding of unit root implies that stock returns cannot be predicted. This paper investigates the stock prices behavior of five ASEAN (Association of Southeast Asian Nations) countries i.e., Indonesia, Malaysia, Philippines, Singapore and Thailand, for the period from 1990:1 to 2009:1 using a two-regime threshold autoregressive (TAR) approach which allows testing nonlinearity and non-stationarity simultaneously. Among the main findings, our results indicate that stock prices of Malaysia and Thailand are a non-linear series and are characterized by a unit root process, consistent with the EMH. Furthermore, we find that stock prices of Indonesia, Philippines and Singapore follow a non-linear series, however, stock price indices are stationary processes that are inconsistent with the EMH.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S021759081250021X
Download Restriction: Access to full text is restricted to subscribers.

File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S021759081250021X
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal The Singapore Economic Review.

Volume (Year): 57 (2012)
Issue (Month): 03 ()
Pages: 1250021-1-1250021-12

as in new window
Handle: RePEc:wsi:serxxx:v:57:y:2012:i:03:p:1250021-1-1250021-12

Contact details of provider:
Web page: http://www.worldscinet.com/ser/ser.shtml

Order Information:
Email:

Related research

Keywords: Efficient market hypothesis; threshold autoregressive model; unit root; C22; C52;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wsi:serxxx:v:57:y:2012:i:03:p:1250021-1-1250021-12. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.