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題 名 | New Evidence on the Efficiency of South Asian Emerging Stock Markets |
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作 者 | Wickremasinghe, Guneratne B; | 書刊名 | Academy of Taiwan Business Management Review |
卷 期 | 7:1 2011.04[民100.04] |
頁 次 | 頁56-63 |
分類號 | 563.54 |
關鍵詞 | Random walk hypothesis; Emerging stock markets; South Asia; Panel unit root tests; |
語 文 | 英文(English) |
英文摘要 | This paper investigates the empirical validity of the weak form of the Efficient Market Hypothesis (EMH) for four emerging stock markets in South Asia. As opposed to econometric techniques widely used in previous studies to examine this issue, we employ panel unit root tests and univariate unit root tests that have better power and size properties than widely used ADF-type unit root tests. Our results indicate that panel unit root tests strongly support the validity of the EMH for the South Asian emerging stock markets although the univariate unit root tests provide mixed results. These results are attributed to the low power of univariate unit root tests to recognise the true data generating processes of economic variables. The implications of the results are that stock market participants cannot devise any trading rule to beat the stock markets in the South Asian region on a consistent basis. |
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