IDEAS home Printed from
   My bibliography  Save this article

The weak-form efficiency of Asian stock markets: new evidence from generalized spectral martingale test


  • Kian-Ping Lim
  • Weiwei Luo


The most appropriate approach to test for weak-form market efficiency is to examine whether the stock returns are Martingale Difference Sequence (MDS). However, the MDS tests have been largely ignored by previous studies, as the empirical analysis is dominated by Variance Ratio (VR) tests and Independent and Identically Distributed (IID)-based nonlinearity tests. This article re-examines the weak-form efficiency of 14 Asian stock markets using the generalized spectral martingale test. The result shows that all the return series are not MDSs, indicating the presence of return predictability and hence market inefficiency.

Suggested Citation

  • Kian-Ping Lim & Weiwei Luo, 2012. "The weak-form efficiency of Asian stock markets: new evidence from generalized spectral martingale test," Applied Economics Letters, Taylor & Francis Journals, vol. 19(10), pages 905-908, July.
  • Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:905-908
    DOI: 10.1080/13504851.2011.607123

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Todea, Alexandru & Ple┼čoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
    2. Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun, 2016. "Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 95-106.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:905-908. 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: (Chris Longhurst). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.