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Market Efficiency of ASEAN Stock Markets

Author

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  • Muneer Shaik
  • S. Maheswaran

Abstract

In this paper, we examine the stock market efficiency of the members of the Association of South East Asian Nations (ASEAN). We use the conventional individual variance ratio tests like the Lo and MacKinlay (1988) test, Choi (1999) test, Wright (2000) test and Chen and Deo (2006)) test to check for the efficient market hypothesis in these markets. We also perform the spectral shape test of Durlauf (1991) and Average exponential test as in Andrews and Ploberger (1996) to check for the serial correlations in these stock indices. This study rejects the efficient market hypothesis for the stock markets of Indonesia, Malaysia, Philippines, Thailand and Vietnam. However, we find that the stock markets in Cambodia, Lao and Singapore are weak form efficient. This study is essential for the policy makers of ASEAN member nations who attempt to introduce new financial regulations to make their markets more attractive to the investors by making the stock markets efficient.

Suggested Citation

  • Muneer Shaik & S. Maheswaran, 2017. "Market Efficiency of ASEAN Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(2), pages 109-122.
    • Handle: RePEc:asi:aeafrj:v:7:y:2017:i:2:p:109-122:id:1543
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    Cited by:

    1. Yaya, OlaOluwa S. & Vo, Xuan Vinh & Adekoya, Oluwasegun B., 2021. "Market Efficiency of Asian Stocks: Evidence based on Narayan-Liu-Westerlund GARCH-based Unit root test," MPRA Paper 109828, University Library of Munich, Germany.
    2. Harjito, Dwipraptono Agus & Alam, Md. Mahmudul & Dewi, Rani Ayu Kusuma, 2021. "Impacts of International Sports Events on the Stock Market: Evidence from the Announcement of the 18th Asian Games and 30th Southeast Asian Games," OSF Preprints 4dgne, Center for Open Science.
    3. OlaOluwa S. Yaya & Oluwasegun B. Adekoya & Xuan Vinh Vo & Mamdouh Abdulaziz Saleh Al‐Faryan, 2024. "Stock Market Efficiency in Asia: Evidence from the Narayan–Liu–Westerlund's GARCH‐based unit root test," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 91-101, January.

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