Weak Form Efficiency of Six Equity Exchanges in ASEAN
Weak Form Efficiency of Six Equity Exchanges in ASEAN
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2012
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eng
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application/pdf
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7 pages
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European Journal of Scientific Research 84.4, 532-538, 2012
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Abstract
This research investigates the weak form efficiency of six equity indices in ASEAN countries including the FTSE Bursa Malaysia Index (FBM), Jakarta Stock Exchange Composite Index (JCI), Philippines Stock Exchange Index (PCI), Stock Exchange of Thailand Index (SET), Singapore’s Straits Times Index (STI), and Vietnam Ho Chi Minh Stock Index (VN). The research examines the weak form efficiency across different equity exchange indices and also investigates whether there is an improvement in the weak form efficiency of each equity exchange index across time (1991-2012). The results from runs test and autocorrelation test show that the ASEAN equity markets were not efficient and not improving over time except for Thailand and Singapore, where the efficiency has been improved during the period 2001-2012.