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

Lim, Kian Ping and Luo, Wei Wei (2012) The weak-form efficiency of Asian stock markets: New evidence from generalized spectral martingale test. Applied Economics Letters, 19 (10). pp. 905-908. ISSN 1350-4851

[img]
Preview
Text
The_weak-form_efficiency_of_Asian_stock_markets.pdf

Download (44kB) | Preview

Abstract

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.

Item Type: Article
Uncontrolled Keywords: Asian stock markets, Market efficiency, Martingale difference sequence, Return predictability
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: ADMIN ADMIN
Date Deposited: 02 Apr 2012 15:38
Last Modified: 17 Oct 2017 11:47
URI: http://eprints.ums.edu.my/id/eprint/3869

Actions (login required)

View Item View Item