Market Efficiency of Asean Stock Markets

In this paper, we examine the stock market efficiency of the members of the Association of South East Asian Nations (ASEAN). We use the conventional individual variance ratio tests like the Lo and MacKinlay (1988) test, Choi (1999) test, Wright (2000) test and Chen and Deo (2006)) test to check for the efficient market hypothesis in these markets. We also perform the spectral shape test of Durlauf (1991) and Average exponential test as in Andrews and Ploberger (1996) to check for the serial correlations in these stock indices. This study rejects the efficient market hypothesis for the stock markets of Indonesia, Malaysia, Philippines, Thailand and Vietnam. However, we find that the stock markets in Cambodia, Lao and Singapore are weak form efficient. This study is essential for the policy makers of ASEAN member nations who attempt to introduce new financial regulations to make their markets more attractive to the investors by making the stock markets efficient. © 2017 AESS Publications. All Rights Reserved.