Weak Form Efficiency in Asian Markets—The Case of China, India, Malaysia and South Korea

Abstract

This paper examines the weak form market efficiency in a group of Asian equity markets. The sample encompasses four emerging markets comprising India, China, South Korea and Malaysia. Daily, weekly and monthly market returns are estimated for a runs test and variance ratio tests. The findings are contrary to some of the previous studies that are based only on unit root tests. This study sheds new lights on the extant literature on market efficiency and has important implications for investors who seek to identify mispriced assets in order to make abnormal profits.