Category

Number of Access this item:787（2024-04-16 13:27 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/10086/28418

Link to primary information 

File Format Size Views Description
cover_28418 pdf
070inv03101 pdf 664 KB 466

Item Information

Output File

Title
Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence
Creator
Creator Name
KIM, Jae KIM, Jae
Affiliation
Affiliation Name
La Trobe University
Creator Name
DOUCOULIAGOS, Hristos DOUCOULIAGOS, Hristos
Affiliation
Affiliation Name
Deakin University
Creator Name
STANLEY, T.D. STANLEY, T.D.
Affiliation
Affiliation Name
Hendrix College
Key Word
Random walk
meta-regression
efficient market hypothesis
JEL
G10
G14
Abstract
The aim of this paper is to analyze the available evidence on the efficient market hypothesis (EMH). Meta-regression analysis is applied to 1,560 estimates of the Variance Ratio test of the efficiency of Asian and Australasian stock markets. We test if there is evidence of violation of the EMH and we also explain the heterogeneity in the reported test results. Our meta-regression analysis specifically accommodates the possibility of publication selection in favor of accepting the null hypothesis of market efficiency. We find that Asian stock markets are, on average, not informationally efficient. However, market efficiency has improved over time and market capitalization and economic freedom influences stock market efficiency: more developed and less regulated stock markets are more efficient. We also find small to medium sized inefficiencies among daily and weekly returns and negative autocorrelation among monthly returns.
Publisher
Hitotsubashi University
Issued Date
2017-03
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Invited fellow DP, No. 31
Number of Pages
38
Appears in Collections
Hitotsubashi Invited Fellow Program Discussion Paper Series
URL
https://hdl.handle.net/10086/28418