Testing Weak form Market Efficiency: Empirical Evidence from Selected Asian Stock Markets

Abstract

This empirical study examines stock market efficiency of selected fifteen countries from the Asian region using weekly stock returns from the year 2001 to 2017. In order to test the market efficiency, the following statistical methods were conducted on the realized returns: Auto Correlation, Q Statistics, Correlation Matrix, Unit Root Test, and Run Test. It is revealed that the weekly return is not normally distributed as the historical returns from the considering markets are negatively skewed. We came up to a conclusion that weekly returns do not follow the random walk as it rejects the null hypothesis. Therefore, it may be possible for the investors to gain an arbitrage profit by investing in any of the markets in consideration.