A Weak-Form Efficiency Analysis of Asian Stock Markets

The concept of efficient market hypothesis has remained the focus of the researchers of Finance ever since it has been proposed by Fama in 1965. Many researchers from time to time have analyzed the capital market efficiency of different countries of the world. The present study has analyzed and compared the efficiency of the Asian capital markets. Adjusted Daily closing prices of the most important Asian countries Japan, China, Singapaore, Hongkong, and India for the period ranging between 01/01/2008 to 31/12/2017 have been taken into consideration in order to test the weak form of market efficiency. Descriptive Statistics, ADF test, Auto-Correlation test, BOX-PIERCE TEST (Q), Jarque-Bera Statistic and Runs test have been used in order to reach the results. The results of tests of normality viz, Skewness, Kurtosis, Jarque Bera Statistics reject the null hypothesis that monthly index returns follow a normal distribution for the entire analyzed indexes. The tests for stationarity viz. Augmented Dickey-Fuller test contradict the random walk theory and the tests for independence and randomness viz. Auto-correlation and Runs test fully support randomness in stock price series. The study provides vital indications to stock market players as far as the trading/investing in the capital markets of Asia is concerned.