Weak Form Market Efficiency: Evidence from Developing and Emerging Markets”
Keywords:
Efficient Market Hypothesis, Unit Root Test, GARCH (1,1), Variance Test RatioAbstract
This paper attempts to investigate the weak form of market efficiency in developing empirically and emerging countries' capital markets including” (India, China, Pakistan, Malaysia Philippines and Indonesia) Couple of studies has been conducted internationally to find out market efficiency and its form in several countries by multiple authors through different methodologies yet a gap exists to search central and East Asian countries on one platform. The panel data consists of the time series data of six Asian countries. Data has been obtained from Bloomsburg database from January 2009 to December 2019. By utilizing unit root test, GARCH (1, 1) model and variance test ratio. The results show no evidence of the weak form of efficiency in sample countries. Similar sort of studies has been conducted globally for testing efficient market hypothesis this is a very first time that developing and emerging countries of Asia are being taken.”
https://doi.org/10.5281/zenodo.10498037
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