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Market efficiency in the ASEAN region: evidence from multivariate and cointegration tests

  • Francesco Guidi
  • Rakesh Gupta

The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations’ (ASEAN) stock markets for the period January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of statistical tests. We reject the EMH for the stock markets of Indonesia, Malaysia, the Philippines and Vietnam. We find stock markets in Singapore and Thailand are weak-form efficient. We also find that collectively these markets do not follow the same trend; this means that prices from one market are not predictable in terms of information in another.

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File URL: http://hdl.handle.net/10.1080/09603107.2012.718064
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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 23 (2013)
Issue (Month): 4 (February)
Pages: 265-274

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Handle: RePEc:taf:apfiec:v:23:y:2013:i:4:p:265-274
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