Are Major Asian Markets Efficient?

This paper evaluates the small sample properties of non-parametric joint rank and sign variance ratio tests to analyze the weak form efficiency in stock prices. It also assesses the size and power properties of the joint rank and sign variance ratio tests for small samples with the application of weighted bootstrap procedure. The results indicate that the weighted bootstrap tests exhibit desirable size properties and substantially higher power than the corresponding conventional rank-based tests. In addition, these tests are applied to examine the market efficiency of three major Asian emerging markets. The findings suggest that the efficiency characteristics of a given market do not remain the same and, in fact, vary over time depending on the major changes happening in the global financial markets. The results also indicate that India and China have become more efficient after the sub-prime crisis.