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Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets

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  • Jeffrey E. Jarrett

Abstract

Purpose - The purpose of this paper is to indicate the existence of certain time series characteristics in daily stock returns of four small Asian (Pacific basin) financial markets. It aims to study efficient capital markets (efficient markets hypothesis (EMH)) as results may infer that there are predictable properties of the time series of prices of traded securities on organized markets in Singapore, Malaysia, Korea and Indonesia. Design/methodology/approach - The paper analyses daily variations in financial market data obtained from the Sandra Ann Morsilli Pacific‐basin Capital Markets Research Center (PACAP). Findings - The weak form efficiency test example examines the wide range of trading rules available to common investors. Some theorists try to convince everyone that the weak form of EMH is acceptable due to the weight of academic opinion. The paper finds that for short‐term (daily) changes, the markets of four of the smaller Pacific‐basin stock markets have predictable properties, which leads to the conclusion that the weak‐form EMH does not hold for these markets. Research limitations/implications - The study is limited to those firms and exchanges studied and the time period covered. Originality/value - There have been all too few studies of these small financial markets up to now and there is no other study utilizing these data on the Pacific basin (Asia). The results are unique and original.

Suggested Citation

  • Jeffrey E. Jarrett, 2010. "Efficient markets hypothesis and daily variation in small Pacific‐basin stock markets," Management Research Review, Emerald Group Publishing Limited, vol. 33(12), pages 1128-1139, November.
    • Handle: RePEc:eme:mrrpps:v:33:y:2010:i:12:p:1128-1139
    DOI: 10.1108/01409171011092185
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    Citations

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    Cited by:

    1. Mai Ahmed Abdelzaher, 2021. "Study the Efficiency Hypothesis in the Egyptian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 18-25.
    2. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
    3. Pick-Soon Ling & Ruzita Abdul-Rahim, 2017. "Market Efficiency Based on Unconventional Technical Trading Strategies in Malaysian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 88-96.
    4. MOBEEN Ur Rehman & WAQAS Bin Khidmat, 2013. "Technical Analysis Of Efficient Market Hypothesis In A Frontier Market," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 8(2), pages 60-67, August.
    5. Adedoyin Isola LAWAL & Ezekiel OSENI & Abiola John ASALEYE & Bukola LAWAL-ADEDOYIN & Rachael OJEKA-JOHN, 2021. "Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(5), pages 384-395, May.

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