Testing the Empirics of Weak Form

of Efficient Market Hypothesis:

Evidence from Asia-Pacific Markets

Nidhi Malhotra*, Kamini Tandon** and Deepak Tandon***

The present study examines the weak form of market efficiency of 10 selected stock exchanges in Asia-Pacific markets
for daily, weekly and monthly returns from 1997 to 2012. The descriptive statistics results indicate that all the three
return series (daily, weekly and monthly) are not normally distributed and are characterized as leptokurtic and skewed.
The results of run test and autocorrelation indicate that the Asian markets are weak form efficient when tested on
monthly returns but fail to exhibit characteristics of random walk in daily and weekly returns. The results of unit root
conclude that data becomes stationary at order I(1) and the results of the more stringent variance ratio reject the
existence of weak form of inefficiency in the selected stock indices. The results have important implications for
investors who can exploit market inefficiency and earn abnormal profits while holding a well-diversified portfolio in
these emerging markets.

Introduction
The study of market efficiency has been the central conception in financial literature for the
past several years and the rationale for such extensive research can be attributed to the fact
that market efficiency has important implications for trading strategies of individual investors,
fund managers, portfolio analysts and also conducive for optimum research allocation and
production efficiency. Efficient Market Hypothesis (EMH) propounds that securities prices
are extremely efficient in collectively reflecting information about individual stocks and
stock market. If a large number of rational investors are present in a market and relevant
market information is easily and freely available, then stock prices would reflect a fair value
and each investor would earn an average rate of return. Fama (1965) provided evidence of not
only statistical independence in stock returns but also poor predictive powers of technical
analysis tools to predict the future prices. Samuelson (1965) and Mandelbrot (1966) explained
that randomness in equity returns should be expected from a well-functioning stock market
that implicates investing in stocks is a ‘fair game’, i.e., an investor cannot beat the market and
earn superior returns without having informational advantage.

* Assistant Professor, Banarsidas Chandiwala Institute of Professional Studies, Affiliated to Guru Gobind
Singh Indraprastha University, Sector 11, Dwarka, New Delhi 110075, India; and is the corresponding author.
E-mail: malhotra.nidhi6@gmail.com
** Assistant Professor, Banarsidas Chandiwala Institute of Professional Studies, Affiliated to Guru Gobind
Singh Indraprastha University, Sector 11, Dwarka, New Delhi 110075, India. E-mail: kaminitandon@gmail.com
*** Professor, Finance and Accounting, International Management Institute (IMI), Qutab Institutional Area,
Tara Crescent, New Delhi 110016, India. E-mail: deepaktandon@imi.edu

© 2015 IUP. All Rights Reserved.

18 The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015
 The present paper examines the weak form of EMH in a large number of Asian emerging and
developed markets. It is generally believed that developed markets are more efficient, compared
to emerging markets, as they are equipped with well-established institutions, experience
greater liquidity, trading activity, substantial market depth and low information asymmetry.

Literature Review
Past studies on random walk and market efficiency exist either for a single market or group of
Asian markets. The studies of random walk in single market include for Taiwan (Lock, 2007),
Japan and China (Lee et al., 2001; Li, 2008; and Mahmood et al., 2010), Hong Kong (Cheung
and Coutts, 2001), Korea (Ayadi and Pyun, 1994; and Ryoo and Smith, 2002) and India
(Barua, 1987; Chaudhury, 1991; Poshakwale, 1996; Pant and Bishnoi, 2002; Gupta and Basu,
2007; and Mehla and Goyal, 2012). The studies that have tested market efficiency for a
cluster of developed or developing markets in Asia-Pacific include Chye and Kendall (1992),
Worthington and Higgs (2006), Hamid et al. (2010), Jayanthi (2010), etc. Chye and Kendall
(1992) found the existence of weak and semi-strong form of EMH for Singapore, Malaysia
and Indonesia. The results revealed the presence of unit root in asset prices for the sample
period, except in 1975 and 1976 for Singapore and Malaysia.
Worthington and Higgs (2006) examined the presence of weak form of market efficiency
for 10 Asian developing markets and five developed markets. For the same, the authors
explained random walk with reference to three restrictive hypothesis (RW1, RW2 and RW3)
and used different tests to prove each hypothesis. The results of serial correlation and run
test confirmed the presence of weak form of market efficiency. The results of unit root provided
evidence of weak form of efficiency, except for Australia and Taiwan. However, the variance
ratio test rejected the evidence of random walk in both the emerging and developed markets.
Hamid et al. (2010) tested the presence of random walk in 14 major Asia-Pacific indices
from January 2004-December 2009. The run test results failed to reject the null hypothesis of
randomness for all markets and the results of serial correlation test revealed insignificant
autocorrelation coefficients for all selected lags. The return series is non-stationary at order
I(0) and becomes stationary at order I(1) at 1% and 5% levels of significance. The variance
ratio test revealed that Asia-Pacific region affirms inefficiency. Jayanthi (2010) investigated
the presence of random walk in major Asian indices. The results of run test and autocorrelation
test rejected the null hypothesis of independent returns and zero autocorrelation coefficients
and revealed the presence of weak form of inefficiency in all selected indices.
Jayaraman and Ramaratnam (2011) found that the markets of the US, Japan, China,
South Korea, Brazil, India, UK, France, Hong Kong and Singapore do not follow any pattern
and are weak form efficient. The authors employed the run test to check the independence of
consecutive returns for the period January-December 2010. Nisar and Hanif (2012)
investigated the weak form of market efficiency in four indices of India, Pakistan, Bangladesh
and Sri Lanka for the daily, weekly and monthly returns from 1997-2011. For daily returns,
the run test rejected the null hypothesis of successive independent returns for all markets,
whereas mixed results were reported for weekly and monthly returns. The daily, weekly and

Testing the Empirics of Weak Form of Efficient Market Hypothesis: 19

Evidence from Asia-Pacific Markets
monthly calculated values rejected the null hypothesis of zero autocorrelation. Further, the
unit root and variance ratio test results provided evidence for inefficient markets.
Past studies such as Darrat and Zhong (2000), Chang et al. (2004), Worthington and
Higgs (2006), Mishra (2009), Hamid et al. (2010) and Nasir and Hanif (2012) differ in terms
of choice of Asian indices selected, statistical tools used, different time periods and time
frequency. Considering the practical implications of the testable hypothesis and conflicting
empirical evidence, the present study is an attempt to test the presence of random walk
hypothesis with larger sample size, different time frequency, exhaustive time period and
testing random walk hypothesis using all three hypotheses (RW1, RW2 and RW3).

Data and Methodology

The data employed in this study uses daily, weekly and monthly closing values of 10 Asia-
Pacific countries: Australia, China, Hong Kong, India, Indonesia, Malaysia, Japan, Singapore,
Korea and Taiwan. The closing prices of all indices were extracted from Yahoo Finance and
Bloomberg. The natural log of the relative closing prices was computed for daily, weekly and
monthly values to generate a time series of continuously compounded returns, such that:
Rt= log (Pt/Pt–1)
where Rt is daily/weekly/monthly returns for the respective indices, Pt is the closing price of
the index for the period ‘t’ and Pt–1 is the closing price of the index for the previous period. In
order to observe the descriptive statistics of the data used, arithmetic mean, median, standard
deviation, variance, kurtosis and skewness are studied. Also, in order to check the normality
of data employed, Jarque-Bera statistics is reported along with the p-values.
The random walk hypothesis comprises three restrictive assumptions, i.e., RW1, RW2
and RW3, and different empirical tests are employed to check the presence of random walk
(Worthington and Higgs, 2006; and Campbell et al., 1997). RW3 is the least restrictive
assumption and states that past prices cannot be used to predict future prices and returns
should be serially uncorrelated. To test serial dependence of returns, the present study uses
parametric serial correlation test and non-parametric run test. The run test determines
whether successive price changes are independent, and in case price changes are random,
then expected number of runs should be actual number of runs. Let ‘R’ be the number of runs
(i.e., series of successive price changes) and NA are the total number of runs that exceed or
equal the mean value and NB are the total runs less than or equal to the mean value. The test
statistic ‘U’ is given as:

R  E( R)
U
R

2N A N B
E( R)OR  1
NA  NB
2N A N B[2N A N B  N A N B ]
 
( N A  N B )2( N A  N B  1)

20 The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Serial correlation test determines the correlation coefficient between a series of return
and its lagged returns. In order to test the autocorrelation, Ljung-Box (LB) statistics has been
employed to test whether all autocorrelations are significantly different from zero.

m
  2 ( k) 
LB  n( n  2)   
 n k ~  m
k 1  
2

where (k) is the estimated autocorrelation coefficient and ‘k’ is the given lag and ‘n’ is the
sample size.
RW2 states that it is possible to predict future volatility of the market based on variances
of past prices wherein the returns are serially uncorrelated but increments are independent
but not identically distributed. The present study uses unit root test (i.e., Augmented Dickey-
Fuller test) to determine if the series is difference or trend non-stationary as a necessary
condition of random walk.
m
yt  1   2  yt 1   y
i 1
i t i  t

where t is a pure white noise error term, yt = yt–1 – yt–2, m is the number of lagged terms,
t is the trend term, 2 is the estimated coefficient for the trend and 1 is the constant.
RW1 is the most restrictive assumption and states that random walk hypothesis exists in
the strictest sense when returns are serially uncorrelated with independent and identical
increments. Multiple variance ratio test is employed to test the uncorrelated residuals in the
series under assumptions of both homoskedasticity and heteroskedasticity. Further, the
variance ratio postulates that the variance of the increments in a random walk is linear, and
in case of equally spaced return series, the variance of qth difference is equal to q times the
variance of its first difference. In other words, variance of a monthly price change is four
times that of weekly price change and variance of biweekly change is twice of weekly price
change.

1 1 2
Var(Pt  Pt  q ) 
Var (q) = q q
 2(1)
Var(Pt  Pt 1 ) 

where p is the value of the indices and q is any positive integer.

Results and Discussion

Table 1 represents the descriptive statistics of daily, weekly and monthly return series. The
daily returns range from 0.0000 for Malaysia, Singapore and Taiwan to –0.0002 for India and
Indonesia. Weekly and monthly returns are found in the range of –0.0002 (Malaysia and
Singapore) to 0.0006 (Taiwan). As regards daily, weekly and monthly returns most of the
indices exhibit positive skewness indicating greater probability of large increase in returns

Testing the Empirics of Weak Form of Efficient Market Hypothesis: 21

Evidence from Asia-Pacific Markets
than fall. Hong Kong and Malaysia show the presence of negative skewness in daily returns,
and China (–0.0143) and Malaysia (–0.0264) for weekly returns. For monthly returns, negative
skewness is reported in Korea (–0.122) and Hong Kong (–0.4939). Kurtosis measures the
degree of ‘peakedness’ of the distribution and consequently ‘heaviness of tails’. The kurtosis
in all market returns (daily, weekly and monthly) is leptokurtic as the values are large and
range between 3.3393 (Taiwan) to 14.0530 (Malaysia), indicating high peaks and fat tails.
The Jarque-Bera results show that none of the markets is normally distributed as all p-values
are smaller than 0.05 level of significance, indicating rejection of null hypothesis of normality.
Table 2 shows the results of run test. For daily returns, independence in price movement
is observed only for Australia (0.109), Hong Kong (0.261), Singapore (0.887) and Korea
(0.207). For weekly returns and monthly returns, all market indices exhibit independence in
successive returns, except China (p value: 0.008) and India (p value: 0.032).
Table 3 (a, b and c) summarizes the serial correlation coefficients and Q statistics for daily,
weekly and monthly returns on the selected 10 Asian stock indices. Positive autocorrelation
indicates predictability of returns (i.e., persistence) and negative autocorrelation shows mean
reversion. The serial correlation coefficients of monthly returns are insignificant at 1% and
5% level, except for China and Malaysia. The null hypothesis of no serial correlation in daily
returns is rejected for all indices, except Australia. For weekly returns, returns were found to
be uncorrelated except for China, Indonesia, Malaysia, Japan and Korea, wherein traces of
significant correlation coefficient were observed. Further, it is observed that daily returns
experience large rate of rejection vis-à-vis weekly and monthly return series. This can be
explained with the reason that the larger the interval of observations of prices, the less is the
influence of lag prices in determining future price (Mehla and Goyal, 2012). Thus, there
exists a weak form of efficiency in monthly returns, thereby reducing the investor opportunity
to earn superior profits through trading strategies. On the other hand, traces of weak form of
inefficiency are found in daily and weekly returns.
Since the presence of unit root is a necessary condition for a random walk, Augmented
Dickey-Fuller Test (ADF) is used to test the null hypothesis of unit root (i.e., non-stationarity
of the return series). According to Table 4, the return series of daily, weekly and monthly
returns are non-stationary I(0) when tested at level, but become stationary I(1) in first
difference. Worthington and Higgs (2006), Hamid et al. (2010), Nisar and Hanif (2012) and
Mishra (2009) have also found similar results for unit root test, thereby indicating stationarity
of return series and weak form of inefficiency.
Table 5 reports the variance ratio test results, and Z(q) and Z*(q) represent the statistics
of the variance ratio under the assumption of homoskedasticity and heteroskedasticity. The
test is conducted at various lags 2, 4, 8 and 16 for daily, weekly and monthly return series. The
null hypothesis of random walk is rejected at 1% and 5% levels of significance both under
assumptions of homoskedasticity and heteroskedasticity. Of the 10 selected stock indices,
the null hypothesis of random walk under assumption of homoskedasticity and
heteroskedasticity is rejected for daily, weekly and monthly returns.

22 The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Table 1: Descriptive Statistics for Daily, Weekly and Monthly Returns
AUS CHI HK IND INDO MAL JAP SING KOR TAI

Daily –0.0001 –0.0001 –0.0001 –0.0002 –0.0002 0.0000 0.0001 0.0000 –0.0001 0.0000

Mean Weekly –0.0003 –0.0005 –0.0003 –0.0008 –0.0010 –0.0002 0.0003 –0.0002 –0.0005 0.0001

Monthly –0.0015 –0.002 –0.0012 –0.0035 –0.0042 –0.00075 0.0013 –0.0008 –0.002 0.0006

Evidence from Asia-Pacific Markets

Daily –0.0002 0.0000 –0.0002 –0.0005 –0.0004 –0.0001 0.0000 –0.0001 –0.0004 –0.0001

Median Weekly –0.0013 0.0000 –0.0009 –0.0020 –0.0019 –0.0010 –0.0004 –0.0006 –0.0019 –0.0010

Monthly –0.0051 –0.003 –0.0045 –0.0044 –0.0093 –0.0039 –0.0015 –0.0045 –0.004 –0.0008

Daily 0.0372 0.0405 0.0640 0.0513 0.0553 0.1049 0.0526 0.0400 0.0556 0.0432

Maximum Weekly 0.0769 0.0647 0.0865 0.0755 0.1044 0.0826 0.1211 0.1108 0.0995 0.0621

Testing the Empirics of Weak Form of Efficient Market Hypothesis:

Monthly 0.0655 0.1228 0.1512 0.1186 0.1644 0.1236 0.1182 0.1188 0.1382 0.0934

Daily –0.0264 –0.0483 –0.0749 –0.0694 –0.0570 –0.0904 –0.0575 –0.0559 –0.0490 –0.0370

Minimum Weekly –0.0352 –0.0606 –0.0604 –0.0572 –0.0182 –0.1152 –0.0497 –0.0863 –0.0757 –0.0796

Monthly –0.0319 –0.121 –0.1099 –0.1081 –0.1086 –0.1278 –0.0525 –0.1079 –0.173 –0.0974

Daily 0.0043 0.0070 0.0077 0.0073 0.0076 0.0069 0.0068 0.0061 0.0087 0.0068
Standard
Weekly 0.0091 0.0147 0.0158 0.0156 0.0181 0.0136 0.0135 0.0142 0.0190 0.0153
Deviation
Monthly 0.0169 0.0355 0.0338 0.3315 0.0392 0.03197 0.0257 0.0323 0.0398 0.0328

23
24
Table 1 (Cont.)
AUS CHI HK IND INDO MAL JAP SING KOR TAI

Daily 0.5979 0.2105 –0.1173 0.0912 0.1867 –0.4212 0.2923 0.0268 0.1949 0.1538

Skewness Weekly 1.1485 –0.0413 0.4226 0.3459 0.4390 –0.0264 0.9959 0.4723 0.5074 0.1664

Monthly 1.0377 0.2221 –0.4939 0.3717 1.1297 0.0552 0.7123 0.3473 –0.122 0.1016

Daily 9.7191 7.7402 12.1973 8.4324 9.8893 57.6365 8.7029 10.2104 7.0255 5.4848

Kurtosis Weekly 10.4184 4.8187 5.9928 4.9720 7.3677 14.0530 10.9626 11.5130 6.7739 5.0065

Monthly 4.4806 4.4949 5.3811 3.638 6.8022 6.4537 4.3369 5.6277 5.0256 3.3393

Daily 7,867.42 3,879.16 14,047.63 4,713.61 7,477.43 4,90,925.30 5,377.41 8,719.57 2,604.73 997.04

Jarque Bera Weekly 2,098.22 114.36 336.49 147.23 654.15 4,239.77 2,329.91 2,546.38 511.63 136.35

Monthly 51.73 19.36 52.89 7.40 150.79 95.02 30.38 58.79 32.09 1.21

Daily 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

P-Value Weekly 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Monthly 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Daily 4,054 4,111 3,983 3,829 3,770 3,946 3,927 4,025 3,822 3,817

Observations Weekly 835 828 835 809 791 831 830 833 804 791

Monthly 191 191 191 185 185 191 191 191 185 185

Note: AUS – Australia; CHI – China; HK – Hong Kong; IND – India; MAL – Malaysia; JAP – Japan; SING – Singapore; KOR – Korea; TAI – Taiwan.

The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Table 2: Run Test Results for Daily, Weekly and Monthly Returns
Cases< Cases 
Test Total No. of
Test Test Z-Value P-Value
Value Cases Runs
Value Value
Daily –0.0002 2,027 2,027 4,054 2,079 1.602 0.109
AUS Weekly –0.0013 417 418 835 394 –1.697 0.090
Monthly –0.0051 95 96 191 90 –0.943 0.346
Daily 0.0000 2,033 2,078 4,111 1,967 –2.785 0.005
CHIN Weekly 0.0000 414 414 828 377 –2.643 0.008
Monthly –0.0028 95 96 191 91 –0.798 0.425
Daily –0.0002 1,991 1,992 3,983 2,028 1.125 0.261
HK Weekly –0.0010 417 418 835 415 –0.242 0.809
Monthly –0.0045 95 96 191 94 –0.362 0.717
Daily –0.0005 1,914 1,915 3,829 1,784 –4.251 0.000

IND Weekly –0.0020 404 405 809 375 –2.146 0.032

Monthly –0.0044 92 93 185 97 0.516 0.606
Daily –0.0004 1,885 1,886 3,770 1,756 –4.235 0.000
INDO Weekly –0.0019 395 396 791 396 –0.036 0.972
Monthly –0.0093 92 93 185 93 –0.073 0.942
Daily –0.0001 1,973 1,973 3,946 1,803 –5.445 0.000

MAL Weekly –0.0010 415 416 831 398 –1.284 0.199

Monthly –0.0039 95 96 191 93 –0.507 0.612
Daily 0.0000 1,963 1,964 3,927 2,038 2.346 0.019
JAP Weekly –0.0004 415 415 830 407 –0.625 0.532
Monthly –0.0015 95 96 191 95 –0.217 0.828
Daily –0.0001 2,012 2,013 4,025 2,018 0.142 0.887
SING Weekly –0.0006 416 417 833 416 –0.104 0.917
Monthly –0.0045 95 96 191 94 –0.362 0.717
Daily –0.0004 1,911 1,911 3,822 1,873 –1.262 0.207
KOR Weekly –0.0019 402 402 804 408 0.353 0.724
Monthly –0.0039 92 93 185 82 –1.695 0.090
Daily –0.0001 1,908 1,909 3,817 1,847 –2.024 0.043
TAI Weekly –0.0010 395 396 791 379 –1.245 0.213
Monthly –0.0008 92 93 185 94 0.074 0.941

Testing the Empirics of Weak Form of Efficient Market Hypothesis: 25

Evidence from Asia-Pacific Markets
26
Table 3a: Serial Correlation Test Results for Daily Returns
Lags 1 2 3 4 5 6 7 8 9 10
AC –0.0170 0.0080 –0.0250 0.0020 –0.0020 –0.0160 –0.0310 –0.0040 0.0140 0.0110

AUS Q-Stat. 1.2386 1.4938 4.1144 4.1274 4.1397 5.1781 9.1743 9.2353 10.0570 10.5260

Prob. 0.2660 0.4740 0.2490 0.3890 0.5290 0.5210 0.2400 0.3230 0.3460 0.3960

AC –0.0120 –0.0220 0.0370 0.0540 –0.0080 –0.0280 0.0150 –0.0120 –0.0190 0.0140

CHI Q-Stat. 0.5469 2.4570 8.2113 20.4240 20.6790 23.8920 24.8760 25.5080 27.0080 27.8050

Prob. 0.4600 0.2930 0.0420 0.0000 0.0010 0.0010 0.0010 0.0010 0.0010 0.0020

AC –0.0050 –0.0240 0.0380 –0.0360 –0.0420 0.0160 0.0020 0.0160 0.0020 –0.0190

HK Q-Stat. 0.1099 2.4629 8.3106 13.5680 20.6440 21.6450 21.6540 22.7300 22.7470 24.1980

Prob. 0.7400 0.2920 0.0400 0.0090 0.0010 0.0010 0.0030 0.0040 0.0070 0.0070

AC 0.0700 –0.0350 0.0000 0.0180 –0.0290 –0.0510 0.0160 0.0470 0.0410 0.0160

IND Q-Stat 18.7790 23.3580 23.3580 24.6440 27.9260 37.7350 38.7000 47.2680 53.8280 54.7780

Prob. 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

AC 0.1420 0.0250 –0.0190 –0.0210 –0.0320 –0.0300 –0.0180 –0.0060 0.0010 0.0290

INDO Q-Stat. 76.2080 78.4760 79.8760 81.5690 85.5300 88.9160 90.1610 90.2850 90.2890 93.5550

Prob. 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Table 3a (Cont.)
Lags 1 2 3 4 5 6 7 8 9 10

AC –0.0300 0.0290 0.0070 –0.0800 0.0490 –0.0120 –0.0080 –0.0050 0.0130 0.0200

MAL Q-Stat. 3.4900 6.8451 7.0122 32.5150 41.9360 42.5140 42.7610 42.8470 43.4930 45.0670

Prob. 0.0620 0.0330 0.0720 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Evidence from Asia-Pacific Markets

AC –0.0360 –0.0380 0.0060 –0.0280 –0.0150 –0.0020 0.0060 0.0010 –0.0240 0.0340

JAP Q-Stat. 5.2346 10.9280 11.0890 14.2030 15.0670 15.0850 15.2130 15.2170 17.4400 22.0840

Prob. 0.0220 0.0040 0.0110 0.0070 0.0100 0.0200 0.0330 0.0550 0.0420 0.0150

AC 0.0800 0.0320 0.0100 0.0010 0.0010 –0.0320 0.0150 –0.0110 –0.0060 0.0390

SING Q-Stat. 25.6200 29.7410 30.1340 30.1350 30.1410 34.3640 35.2290 35.7250 35.8710 41.9700

Testing the Empirics of Weak Form of Efficient Market Hypothesis:

Prob. 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

AC 0.0600 –0.0380 –0.0210 –0.0380 –0.0400 0.0030 0.0190 0.0200 0.0120 0.0020

KOR Q-Stat. 13.7890 19.3080 20.9370 26.3520 32.4410 32.4700 33.8340 35.3520 35.8590 35.8680

Prob. 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

AC 0.0480 0.0280 0.0160 –0.0420 -0.0120 –0.0370 0.0140 0.0200 –0.0110 0.0030

TAI Q-Stat. 8.8703 11.9240 12.9210 19.7780 20.3440 25.6070 26.3260 27.7980 28.2220 28.2490

Prob. 0.0030 0.0030 0.0050 0.0010 0.0010 0.0000 0.0000 0.0010 0.0010 0.0020

27
28
Table 3b: Serial Correlation Test Results for Weekly Returns
Lags 1 2 3 4 5 6 7 8 9 10
AC –0.0180 0.0210 –0.0160 –0.0420 0.0600 0.0440 –0.0380 0.0050 0.0270 –0.0310

AUS Q-Stat. 0.2652 0.6365 0.8398 2.3421 5.3319 6.9741 8.2208 8.2451 8.8802 9.7192

Prob. 0.6070 0.7270 0.8400 0.6730 0.3770 0.3230 0.3140 0.4100 0.4480 0.4640

AC 0.0660 0.0560 0.1020 0.0070 0.0140 0.0540 –0.0050 0.0820 0.0420 0.0480

CHI Q-Stat. 3.5877 6.1874 14.8520 14.8970 15.0500 17.5300 17.5560 23.2340 24.7240 26.6230

Prob. 0.0580 0.0450 0.0020 0.0050 0.0100 0.0080 0.0140 0.0030 0.0030 0.0030

AC 0.0130 0.0720 –0.0050 0.0330 –0.0400 0.0320 –0.0260 0.0290 0.0230 0.0040

HK Q-Stat. 0.1357 4.4588 4.4796 5.4148 6.7784 7.6463 8.2049 8.9385 9.3767 9.3911

Prob. 0.7130 0.1080 0.2140 0.2470 0.2380 0.2650 0.3150 0.3480 0.4030 0.4950

AC 0.0290 0.0870 –0.0190 0.0130 –0.0240 0.0140 –0.0520 0.0520 0.0810 –0.0150

IND Q-Stat. 0.6743 6.8744 7.1684 7.3105 7.7677 7.9305 10.1360 12.3200 17.7020 17.8970

Prob. 0.4120 0.0320 0.0670 0.1200 0.1700 0.2430 0.1810 0.1370 0.0390 0.0570

AC –0.0440 0.0840 0.1100 0.0330 0.1300 –0.0210 –0.0370 –0.0050 –0.0090 –0.0930

INDO Q-Stat. 1.5537 7.2292 16.8270 17.6870 31.1420 31.5060 32.5730 32.5920 32.6530 39.5380

Prob. 0.2130 0.0270 0.0010 0.0010 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Table 3b (Cont.)
Lags 1 2 3 4 5 6 7 8 9 10
AC 0.0320 0.1060 0.0060 0.1230 0.0020 0.0400 0.1230 0.0160 0.0300 –0.0830

MAL Q-Stat. 0.8399 10.2700 10.2790 22.9650 22.9680 24.3170 36.9540 37.1650 37.9290 43.7560

Prob. 0.3590 0.0060 0.0160 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

AC –0.0360 –0.0380 0.0060 –0.0280 –0.0150 –0.0020 0.0060 0.0010 –0.0240 0.0340

Evidence from Asia-Pacific Markets

JAP Q-Stat. 5.2346 10.9280 11.0890 14.2030 15.0670 15.0850 15.2130 15.2170 17.4400 22.0840

Prob. 0.0220 0.0040 0.0110 0.0070 0.0100 0.0200 0.0330 0.0550 0.0420 0.0150

AC 0.0510 0.0340 0.0970 –0.0270 0.0230 0.0580 0.0200 –0.0230 0.0170 0.0250

SING Q-Stat. 2.1747 3.1343 10.9830 11.6150 12.0520 14.9120 15.2560 15.7140 15.9630 16.5120

Testing the Empirics of Weak Form of Efficient Market Hypothesis:

Prob. 0.1400 0.2090 0.0120 0.0200 0.0340 0.0210 0.0330 0.0470 0.0680 0.0860

AC –0.0910 0.0820 0.0320 0.0520 0.0150 –0.0020 0.0200 0.0310 0.0090 –0.0520

KOR Q-Stat. 6.6174 12.0170 12.8400 15.0170 15.1880 15.1910 15.5030 16.2970 16.3660 18.5560

Prob. 0.0100 0.0020 0.0050 0.0050 0.0100 0.0190 0.0300 0.0380 0.0600 0.0460

AC –0.0130 0.0300 0.0770 0.0180 0.0130 –0.0180 0.0410 0.0400 –0.0060 0.0060

TAI Q-Stat. 0.1285 0.8217 5.5624 5.8216 5.9533 6.2251 7.5543 8.8134 8.8414 8.8709

Prob. 0.7200 0.6630 0.1350 0.2130 0.3110 0.3980 0.3740 0.3580 0.4520 0.5440

29
30
Table 3c: Serial Correlation Test Results for Monthly Returns
Lags 1 2 3 4 5 6 7 8 9 10
AC 0.1090 0.0600 0.1250 0.0550 –0.0480 –0.0370 0.0530 –0.0130 –0.0330 –0.0220

AUS Q-Stat. 2.3213 3.0161 6.0887 6.6927 7.1491 7.4182 7.9906 8.0266 8.2511 8.3523

Prob. 0.1280 0.2210 0.1070 0.1530 0.2100 0.2840 0.3330 0.4310 0.5090 0.5940

AC 0.0770 0.1830 0.0190 0.1760 0.0250 –0.0890 0.0940 0.0050 0.0580 –0.0260

CHI Q-Stat. 1.1650 7.6821 7.7534 13.8430 13.9660 15.5500 17.3110 17.3150 18.0040 18.1470

Prob. 0.2800 0.0210 0.0510 0.0080 0.0160 0.0160 0.0160 0.0270 0.0350 0.0530

AC 0.0660 0.0140 –0.0250 –0.0370 –0.0220 –0.0020 0.0680 0.0140 0.0070 0.0198

HK Q-Stat. 0.8403 0.8782 0.9964 1.2596 1.3588 1.3599 2.2951 2.3361 2.3447 2.4141

Prob. 0.3590 0.6450 0.8020 0.8680 0.9290 0.9680 0.9420 0.9690 0.9850 0.9920

AC 0.0520 0.0640 0.0450 0.0600 0.0020 0.0030 –0.0490 –0.0860 0.0200 0.0070

IND Q-Stat. 0.4995 1.2675 1.6446 2.3284 2.3296 2.3317 2.7964 4.2450 4.3247 4.3349

Prob. 0.4800 0.5310 0.6490 0.6760 0.8020 0.8870 0.9030 0.8340 0.8890 0.9310

AC 0.1650 –0.0960 0.0160 0.0440 –0.0020 0.0800 –0.0860 –0.0570 –0.0540 0.0370

INDO Q-Stat. 5.1489 6.8862 6.9369 7.3117 7.3126 8.5633 9.9909 10.6220 11.2040 11.4760

Prob. 0.0230 0.0320 0.0740 0.1200 0.1980 0.2000 0.1890 0.2240 0.2620 0.3220

The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Table 3c (Cont.)
Lags 1 2 3 4 5 6 7 8 9 10
AC 0.1880 0.1350 –0.0770 –0.1300 –0.0060 –0.0810 0.2290 –0.0030 0.1800 –0.0380

MAL Q-Stat. 6.8283 10.3810 11.5590 14.8860 14.8920 16.2090 26.6900 26.6920 33.2430 33.5410

Prob. 0.0090 0.0060 0.0090 0.0050 0.0110 0.0130 0.0000 0.0010 0.0000 0.0000

AC 0.1070 0.0490 0.0360 0.0390 –0.0620 –0.0110 –0.0480 0.0300 0.0720 0.0220

Evidence from Asia-Pacific Markets

JAP Q-Stat. 2.2239 2.6925 2.9428 3.2441 3.9963 6.3992 6.8523 7.0301 8.0707 8.1676

Prob. 0.1360 0.2600 0.4010 0.5180 0.5500 0.3800 0.4400 0.5330 0.5270 0.6120

AC 0.1080 0.0780 –0.0060 –0.0180 0.0150 –0.0350 0.0990 0.0400 –0.0250 –0.1000

SING Q-Stat. 2.2618 3.4607 3.4681 3.5348 3.5780 3.8218 5.7690 6.0890 6.2118 8.2592

Testing the Empirics of Weak Form of Efficient Market Hypothesis:

Prob. 0.1330 0.1770 0.3250 0.4730 0.6120 0.7010 0.5670 0.6370 0.7190 0.6040

AC 0.1480 –0.0270 0.0210 –0.0450 –0.0010 0.0450 0.0170 0.0060 0.0130 –0.0710

KOR Q-Stat. 4.1180 4.2574 4.3416 4.7320 4.7323 5.1269 5.1806 5.1876 5.2211 6.2201

Prob. 0.0420 0.1190 0.2270 0.3160 0.4490 0.5280 0.6380 0.7370 0.8150 0.7960

AC 0.0880 0.1550 –0.0390 –0.0480 –0.0620 –0.1880 0.0690 –0.1360 0.0510 0.0180

TAI Q-Stat. 1.4439 5.9818 6.2749 6.7209 7.4679 14.3080 15.2400 18.8530 19.3720 19.4350

Prob. 0.2300 0.0500 0.0990 0.1510 0.1880 0.0260 0.0330 0.0160 0.0220 0.0350

31
32
Table 4: Augmented Dickey-Fuller Test Results for Daily, Weekly and Monthly Returns
Daily Weekly Monthly
Level Difference Level Difference Level Difference
t- t- t- t- t- t-
p-Value p-Value p-Value p-Value p-Value p-Value
Statistics Statistics Statistics Statistics Statistics Statistics

AUS –1.7094 0.4265 –64.7615 0.0001 –1.6934 0.4343 –29.3387 0.0000 –1.6497 0.4552 –12.2534 0.0000

CHI –1.9041 0.3307 –64.8366 0.0001 –1.9060 0.3297 –26.8772 0.0000 –1.9294 0.3183 –7.8407 0.0000

HK –1.6222 0.4711 –63.4114 0.0001 –1.4836 0.5417 –28.4619 0.0000 –1.5497 0.5063 –12.8050 0.0000

IND –0.4237 0.9028 –57.6567 0.0001 –0.3235 0.9188 –18.1275 0.0000 –0.3384 0.9154 –12.8445 0.0000

INDO 0.0868 0.9648 –53.1861 0.0001 0.1737 0.9708 –29.3208 0.0000 –0.3239 0.9176 –12.0213 0.0000

MAL –1.0567 0.7347 –33.5769 0.0000 –0.8809 0.7944 –17.9776 0.0000 –1.5751 0.4934 –11.2829 0.0000

JAP –2.1507 0.2249 –64.9922 0.0001 –1.8013 0.3801 –30.0209 0.0000 –1.6887 0.4354 –12.3358 0.0000

SING –1.3099 0.6272 –58.5421 0.0001 –1.2741 0.6433 –27.3569 0.0000 –1.6868 0.4363 –12.2721 0.0000

KOR –1.0380 0.7417 –58.1970 0.0001 –0.9507 0.7719 –30.9745 0.0000 –0.9885 0.7571 –11.5953 0.0000

TAI –2.5007 0.1154 –58.8432 0.0001 –2.4760 0.1218 –28.3963 0.0000 –2.6804 0.0794 –7.8417 0.0000

Note: For ADF test, null hypothesis ( H0) is: Presence of unit root (non-stationarity) and alternate hypothesis (H1) is: No unit root (stationarity). The optimal lag length
for ADF Test is selected by using Schwartz Info Criterion. Intercept only in the series. The ADF (Level and First Difference) critical values with an intercept are—
3.43, –2.86 and –2.567 at 1%, 5% and 10% levels.

The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

 Table 5: Variance Ratio Test Results for Daily, Weekly and Monthly Returns
AUS CHI HK IND INDO

Period VRq Zq Z*q VRq Zq Z*q VRq Zq Z*q VRq Zq Z*q VRq Zq Z*q

q=2 0.4876 –32.6203 –16.0506 0.5049 –31.7386 –16.7065 0.5096 –30.9412 –11.1340 0.5565 –27.4395 –15.1188 0.5588 –26.4702 –13.9310

q=4 0.2454 –25.6780 –13.5132 0.2336 –26.2617 –15.0601 0.2581 –25.0248 –9.6178 –0.2643 –24.3310 –14.3338 0.2981 –23.0347 –13.1249
Daily

Evidence from Asia-Pacific Markets

q=8 0.1235 –18.8638 –10.3677 0.1251 –18.9606 –11.9654 0.1226 –18.7152 –7.8618 0.1284 –18.2292 –11.5633 0.1471 –17.7022 10.9572

q=16 0.0625 –13.5589 –7.8118 0.0620 –13.6618 –9.3672 0.0627 –13.4368 –6.3967 0.0674 –13.1094 –8.8758 0.0712 –12.9549 –8.6310

q=2 0.4814 –14.9764 –7.5868 0.5055 –14.2203 –9.1913 0.4707 –15.2865 –10.5192 0.4704 –15.0528 –9.7922 0.4394 –15.7562 –7.9291

q=4 0.2568 –11.4718 –6.3538 0.2660 –11.2826 –7.8714 0.2461 –11.6378 –8.5825 0.2554 –11.3123 –7.8154 0.2332 –11.5198 –6.4833

Testing the Empirics of Weak Form of Efficient Market Hypothesis:

Weekly
q=8 0.1228 –8.5637 –5.2072 0.1231 –8.5255 –6.5040 0.1245 –8.5476 –6.5179 0.1234 –8.4239 –6.2604 0.1205 –8.3567 –5.0857

q=16 0.0622 –6.1526 –3.8681 0.0635 –6.1183 –4.9326 0.0642 –6.1397 –4.8184 0.0644 –6.0418 –4.7784 0.0571 –6.0209 –3.9532

q=2 0.5333 –6.4335 –4.6891 0.4406 –7.7111 –5.2623 0.5322 –6.4483 –4.0642 0.4986 –6.8009 –5.6153 0.6724 –4.4436 –3.7991

q=4 0.2719 –5.3643 –4.2293 0.2247 –5.7122 –4.2235 0.2829 –5.2828 –3.5634 0.2544 –5.4061 –4.7011 0.2906 –5.1434 –4.2695
Monthly

q=8 0.1481 –3.9698 –3.4538 0.1411 –4.0020 –3.1537 0.1373 –4.0199 –2.8751 0.1511 –3.8925 –3.5669 0.1683 –3.8138 –3.1582

q=16 0.0696 –2.9136 –2.7176 0.0829 –2.8719 –2.3273 0.0633 –2.9334 –2.2701 0.0778 –2.8417 –2.6939 0.0857 –2.8175 –2.3551

33
34
Table 5 (Cont.)
MAL JAP SING KOR TAI

Period VRq Zq Z*q VRq Zq Z*q VRq Zq Z*q VRq Zq Z*q VRq Zq Z*q

q=2 0.4716 –33.1854 –4.7731 0.5009 –31.2690 –14.9164 0.5262 –30.0544 –14.2303 0.5524 –27.6655 –16.2259 0.5106 –30.2297 –19.0730

q=4 0.2627 –24.7540 –4.2362 0.2479 –25.1888 –12.3285 0.2719 –24.6885 –12.4843 0.2764 –23.9087 14.8573 0.2741 –23.9684 –16.1322
Daily

q=8 0.1224 –18.6351 –3.8900 0.1205 –18.6301 –9.6211 0.1378 –18.4898 –10.2424 0.1308 –18.1637 –11.9015 0.1291 –18.1868 –13.0677

q=16 0.0629 –13.3721 –3.4405 0.0635 13.3310 –7.4249 0.0688 –13.4200 –8.0767 0.0654 –13.1245 –8.9809 0.0675 –13.0861 –9.8877

q=2 0.4626 –15.4836 –6.2708 0.4408 –16.1013 –7.6138 0.5102 –14.1269 –6.9911 0.4219 –16.3815 –8.4281 0.4800 –14.1610 –9.9185

q=4 0.2279 –11.8906 –5.1840 0.2409 –11.6826 –5.8565 0.2725 –11.2159 –6.1659 0.2188 –11.8320 –6.5487 0.2440 –11.3582 –8.2837
Weekly
q=8 0.1291 –8.4826 –3.9748 0.1226 –8.5407 –4.8246 0.1369 –8.4166 –4.9563 0.1127 –8.4996 –5.0639 0.1203 –8.3590 –6.4892

q=16 0.0682 –6.0987 –3.0318 0.0614 –6.1397 –3.9178 0.0670 –6.1137 –3.9244 0.0611 –6.0446 –3.9051 0.0649 –5.9709 –4.9194

q=2 0.5367 –6.3862 –3.9279 0.5365 –6.3880 –5.4112 0.5211 –6.6013 –4.0898 0.6079 –5.3186 –3.6223 0.4635 –7.2772 –5.3705

q=4 0.3565 –4.7413 –3.0978 0.2756 –5.3375 –4.6062 0.2939 –5.2026 –3.5442 0.3034 –5.0501 –3.7437 0.2889 –5.1559 –4.1647
Monthly

q=8 0.1602 –3.9135 –2.6815 0.1422 –3.9971 –3.6048 0.1429 –3.9942 –2.8708 0.1409 –3.9396 –3.1512 0.1626 –3.8400 –3.4099

q=16 0.0770 –2.8905 –1.9191 0.0761 –2.8934 –2.7299 0.0724 –2.9048 –2.1675 0.0858 –2.8174 –2.3642 0.0867 –2.8145 –2.5854

Note: VRq is Variance Ratio estimate; Zq is the null hypothesis under homoskedastic assumption; and Z*q is the null hypothesis under heteroskedastic assumption,
q is the sampling interval, i.e., 2, 4, 8 and 16 days.

The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

Conclusion
In an efficient market, the prices of stocks fully reflect and incorporate all relevant information,
thereby making the stock prices behavior unpredictable. This paper examines the weak form
of market efficiency of 10 selected Asia-Pacific stock indices for daily, weekly and monthly
closing prices. The empirical results of the study suggest that selected stock indices do not
exhibit weak form of market efficiency when tested for daily and weekly returns. However,
the results support the presence of random walk in monthly returns, except the results of
variance ratio test that negate the existence of weak form of market efficiency in all indices.
The rejection of weak form of market efficiency in daily and weekly returns has two important
implications for a common investor: (i) the investor can earn superior profit by making use
of equity research and valuation and discovering and investing in underpriced stocks and
(ii) more value can be added by holding a well-diversified portfolio, proper stock selection,
aggressive investment strategies and frequent stock trading (i.e., active portfolio management).
Also, the absence of random walk has economic implication, i.e., it can result in possible
distortion in correct pricing of equity and capital, allocation of national resources and
movement of foreign capital, and impede overall economic development of a country.

References
1. Ayadi O F and Pyun C S (1994), “An Application of Variance Ratio Test to the Korean
Securities Market”, Journal of Banking and Finance, Vol. 18, No. 4, pp. 643-658.
2. Barua S K (1987), “Some Observations on the Report of the High Powered Committee on
the Stock Exchange Reforms”, Annual Issue of ICFAI, December.
3. Campbell J Y, Lo A W and MacKinlay A C (1997), The Econometrics of Financial Markets,
Princeton University Press, Princeton.
4. Chang E J, Lima E J D and Tabak B M (2004), “Testing for Weak Form Efficiency in
Emerging Markets”, Emerging Market Review, Vol. 5, No. 3, pp. 295-316.
5. Chaudhary S K (1991), “Short-Run Share Price Behaviour: New Evidence on Weak Form
of Market Efficiency”, Vikalpa, Vol. 16, No. 4, pp. 17-21.
6. Cheung Kwong-C and Coutts J A (2001), “A Note on Weak Form Market Efficiency in
Security Prices: Evidence from Hong Kong Stock Exchange”, Applied Economics Letters,
Vol. 8, No. 6, pp. 407-410.
7. Chye Leo Kee and Kendall Jon D (1992), “An Empirical Analysis of Stock Indices in Three
Southeast Asian Countries”, available at http://citeseerx.ist.psu.edu/viewdoc/
summary?doi=10.1.1.42.9938
8. Darrat Ali F and Zhong Maosen (2000), “On Testing the Random Walk Hypothesis: A
Model Comparison Approach”, The Financial Review, Vol. 35, pp. 105-124.
9. Fama E F (1965), “The Behavior of Stock Market Prices”, Journal of Business, Vol. 38,
No. 1, pp. 34-105.

Testing the Empirics of Weak Form of Efficient Market Hypothesis: 35

Evidence from Asia-Pacific Markets
10. Gupta Rakesh and Basu Parikshit K (2007), “Weak Form Efficiency in Indian Stock
Markets”, International Business & Economics Research Journal, Vol. 6, No. 3, pp. 57-64.
11. Hamid Kashif, Suleman Muhammad Tahir, Shah Syed Zulfiqar Ali et al. (2010), “Testing
Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific
Markets”, International Research Journal of Finance & Economics, No. 58, p. 121.
12. Jayanthi B J Queensly (2010), “Weak Form Market Efficiency in India and Its Emerging
Asian Counterparts”, The IUP Journal of Public Finance, Vol. 8, No. 4, pp. 58-70.
13. Jayaraman R and Ramaratnam M S (2011), “A Study on Testing of Efficient Market
Hypothesis with Special Reference to Selective Indices in the Global Context: An
Empirical Approach”, Journal of Art, Science & Commerce, Vol. 2, No. 1, pp. 17-32.
14. Lee C F, Chen G M and Rui O M (2001), “Stock Returns and Volatility on China’s Stock
Markets”, Journal of Financial Research, Vol. 24, No. 4, pp. 523-543.
15. Li Xiaofeng (2008), “Tests of Stock Market Efficiency in China and Japan”, Master
Thesis, KTH Royal Institute of Technology, Stockholm, available at http://
www.researchgate.net/publication/265525381_Tests_of_Stock_Market_Efficiency
_in_China_and_Japan
16. Lo A W and MacKinlay A C (1988), “Stock Market Prices Do Not Follow Random
Walk: Evidence from a Simple Specification Test”, Review of Financial Studies, Vol. 1,
No. 1, pp. 41-66.
17. Lock Dat Bue (2007), “The Taiwan Stock Market Does Not Follow a Random Walk”,
Economic Bulletin, Vol. 7, No. 3, pp. 1-8.
18. Mahmood Faiq, Xinping Xiam, Shahid Humera and Usman Muhammad (2010), “Global
Financial Crisis: Chinese Stock Market Efficiency”, Asian Journal of Management Research,
pp. 90-101.
19. Mandelbrot Benoit (1966), “Forecasts of Future Prices, Unbiased Markets and Martingale
Markets”, Journal of Business, Vol. 39, No. 4, pp. 242-255.
20. Mehla Sunita and Goyal S K (2012), “Empirical Evidence on Weak Form of Efficiency in
Indian Stock Market”, Asia-Pacific Journal of Management Research & Innovation, Vol. 8,
No. 1, pp. 59-68.
21. Mishra P K (2009), “Weak Form Market Efficiency: Evidence from Emerging & Developed
World”, The Journal of Commerce, Vol. 3, No. 2, pp. 26-34.
22. Nasir Saqib and Hanif Muhammad (2012), “Testing Weak Form of Efficient Market
Hypothesis: Evidence from South Asia”, World Applied Science Journal, Vol. 17, No. 4,
pp. 414-427.
23. Pant B and Bishnoi T R (2002), “Testing Random Walk Hypothesis for Indian Stock
Market Indices”, Working Paper Series, IIM Ahmedabad, pp. 1-15.

36 The IUP Journal of Applied Finance, Vol. 21, No. 4, 2015

24. Poshakwale Sunil (1996), “Evidence on Weak Form Efficiency and Day-of-the-Week
Effect in the Indian Stock Market”, Finance India, Vol. X, No. 3, pp. 605-616.
25. Ryoo H J and Smith G (2002), “Korean Stock Prices Under Price Limits: Variance Ratio
Tests of Random Walks”, Applied Financial Economics, Vol. 12, No. 8, pp. 545-553.
26. Samuelson P (1965), “Proof that Properly Anticipated Prices Fluctuate Randomly”,
Industrial Management Review, Vol. 6, No. 2, pp. 41-49.
27. Worthington A C and Higgs H (2006), “Evaluating Financial Development in Emerging
Capital Markets with Efficiency Benchmarks”, Journal of Economic Development, Vol. 31,
No. 1, pp. 1-27.

Reference # 01J-2015-10-02-01

Testing the Empirics of Weak Form of Efficient Market Hypothesis: 37

Evidence from Asia-Pacific Markets
Copyright of IUP Journal of Applied Finance is the property of IUP Publications and its
content may not be copied or emailed to multiple sites or posted to a listserv without the
copyright holder's express written permission. However, users may print, download, or email
articles for individual use.