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Rise of the 'tiger cub' economies: an empirical investigation of Southeast Asian stock market efficiency

Author

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  • Panha Heng
  • Scott J. Niblock

Abstract

This paper assesses the evolving efficiency status of Southeast Asian (SEA) 'tiger cub' stock markets. The weak-form efficient market hypothesis (EMH) is examined using daily price index data and variance ratio tests from 2000 to 2012. We also explore two diverse sub-periods of economic activity concerning the global financial crisis (GFC); pre-GFC (2000-2006) and GFC (2007-2012). The pre-GFC test findings show that price return predictability exists in the stock markets of Indonesia, Malaysia and the Philippines. In the GFC period, the results reveal that the Indonesian stock market became less predictable, while Malaysia and the Philippines demonstrated similar pre-GFC return predictabilities. The Thai stock market followed a random walk across all periods investigated. Despite uncertainty surrounding the Association of Southeast Asian Nations (ASEAN) economic initiative, it appears that key tiger cub stock markets are becoming more weak-form efficient.

Suggested Citation

  • Panha Heng & Scott J. Niblock, 2014. "Rise of the 'tiger cub' economies: an empirical investigation of Southeast Asian stock market efficiency," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 8(4), pages 474-489.
    • Handle: RePEc:ids:ijecbr:v:8:y:2014:i:4:p:474-489
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