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A Study of Market Efficiency in Emerging Markets Using Improved Statistical Techniques

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  • James Nguyen
  • Richard Parsons

Abstract

This article helps resolve the current unsatisfying and inclusive studies covering the efficiency of stock markets in developing countries. Previous studies have used limited data and partial statistical tests. We use a large, unique data set, across 12 countries, and a comprehensive set of traditional and recent statistical methods as well as powerful multiple-break unit root and spectral analysis tests, many of which have never been used to evaluate the efficient market hypothesis (EMH) in emerging markets. Our results confirm the rejection of the EMH for emerging markets. Our findings have important implications for investors and policy makers, suggesting the possibility for excess profits in these markets.

Suggested Citation

  • James Nguyen & Richard Parsons, 2022. "A Study of Market Efficiency in Emerging Markets Using Improved Statistical Techniques," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(7), pages 2004-2016, May.
    • Handle: RePEc:mes:emfitr:v:58:y:2022:i:7:p:2004-2016
    DOI: 10.1080/1540496X.2021.1949981
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