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An Empirical Study on Weak-Form of Market Efficiency of Selected Asian Stock Markets

Author

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  • Nikunj R. Patel
  • Nitesh Radadia
  • Juhi Dhawan

Abstract

The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and have applied various test like Runs Test, Unit Root Test, Variance Ratio, Auto Correlation and other test. BSE Sensex has given the highest mean returns to the investor followed by SSE Composite and HANGSENG. BSE Sensex could be considered as high risk markets as it has reported the highest Standard Deviation. During the period BSE Sensex, HANGSENG and SSE Composite markets showed positive average daily returns except NIKKEI. The Runs Test indicated BSE Sensex and NIKKEI markets are weak form inefficient whereas HANSENG and SSE Composite hold weak form of efficiency. The time series for the full as well as sample period did not have a presence of unit root in the markets understudy. According to Auto correlation test it is inferred that the equity markets of the Asian region under the study remained inefficient for some lag whereas they were efficient for the other lag.

Suggested Citation

  • Nikunj R. Patel & Nitesh Radadia & Juhi Dhawan, 2012. "An Empirical Study on Weak-Form of Market Efficiency of Selected Asian Stock Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(2), pages 1-5.
    • Handle: RePEc:spt:apfiba:v:2:y:2012:i:2:f:2_2_5
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    Cited by:

    1. Awaz Mohamed Saleem & Hazheen Mardan Mustafa & Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi, 2023. "Regional Stock Market Efficiency at Weak Form after the Covid-19 Vaccination Approval," International Journal of Economics and Financial Issues, Econjournals, vol. 13(6), pages 63-70, November.
    2. Md. Abu HASAN, 2017. "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, KSP Journals, vol. 4(2), pages 239-249, June.
    3. Qiubin Huang & Jakob De Haan & Bert Scholtens, 2019. "Analysing Systemic Risk in the Chinese Banking System," Pacific Economic Review, Wiley Blackwell, vol. 24(2), pages 348-372, May.
    4. Samuel Tabot Enow, 2021. "The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 235-244.
    5. Daniel Agyapong & Theophilus Sakyiamah Atuah & Anthony Asare- Adu Idun, 2020. "Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(8), pages 920-935, August.
    6. Shuang Feng & Jon T. Stewart, 2015. "A Review of Market Segmentation and Inefficiencies of the Chinese Stock Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 4(4), pages 18-28, October.
    7. Kaehler Juergen & Weber Christoph S. & Aref Haider Salahal-Din, 2014. "The Iraqi Stock Market: Development and Determinants," Review of Middle East Economics and Finance, De Gruyter, vol. 10(2), pages 1-25, August.
    8. Meenu Baliyan & Punjika Rathi, 2020. "Testing Efficiency in Weak Form of Indian Banking Industry," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 7(7), pages 21-26, July.
    9. Abdul Aziz Farid Saymeh, 2013. "Empirical Testing for Weak Form Hypothesis of Emerging Capital Markets: A Comparative study of Jordan’s ASE and Turkey’s BORSA IST," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 1(2), pages 20-26.

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