A Comparison of The Weak-form Efficiency of The Asean Stock Markets Before and During the Covid-19 Pandemic

Kok, Sook Ching and Caroline Geetha (2023) A Comparison of The Weak-form Efficiency of The Asean Stock Markets Before and During the Covid-19 Pandemic. Malaysian Journal of Business and Economics (MJBE), 10 (1). pp. 1-7. ISSN 2289-6856

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Abstract

This paper aims to examine the weak-form efficient market hypothesis (EMH) for the ASEAN stock markets before and during the outbreak of the COVID-19 pandemic. The pandemic is a tremendous threat to the health condition and mortality of the world population. An important prevention step undertaken was to have social distancing at different levels of strictness. The ongoing pandemic has caused some negative consequences, including businesses enduring a period of hardship and stock market declines. It seems to be expected that a recession is coming ahead and therefore some people are unwilling to invest in the stock market. On the other hand, some people are optimistic about the economy of ASEAN countries and may think that the declines in stock markets are opportunities to invest. They believe in mean reversion that the falls in stock prices are only temporary and the prices will rebound after some time. If this is true, the market is inefficient and stock prices can be predicted. Conversely, if stock price movements are random walks, shocks to prices will be permanent and prices will reach new equilibrium aftershocks. Hence the market is efficient and stock prices are unpredictable. This study analyses the movements of ASEAN stock markets’ composite indices before and during the outbreak of the COVID-19 pandemic to find out whether the markets are efficient and thus cannot be predicted. We found that some ASEAN stock markets were efficient in both periods, while some others were showing decreased or increased efficiency from the period before the pandemic to the period during the pandemic.

Item Type:	Article
Keyword:	ASEAN countries, Stock market indices, Weak-form EMH, COVID-19 pandemic, Unit root tests
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation R Medicine > RA Public aspects of medicine > RA1-1270 Public aspects of medicine > RA421-790.95 Public health. Hygiene. Preventive medicine > RA648.5-767 Epidemics. Epidemiology. Quarantine. Disinfection
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	SITI AZIZAH BINTI IDRIS -
Date Deposited:	26 Sep 2023 09:55
Last Modified:	26 Sep 2023 09:55
URI:	https://eprints.ums.edu.my/id/eprint/37389

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