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THE EFFICIENT MARKET HYPOTHESIS REVISITED: EVIDENCE FROM THE FIVE SMALL OPEN ASEAN STOCK MARKETS

机译：重新审视了有效的市场假说：东盟五只小型开放市场的证据

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摘要

The efficient market hypothesis (EMH), which suggests that returns of a stock market are unpredictable from historical price changes, is satisfied when stock prices are characterized by a random walk (unit root) process. A finding of unit root implies that stock returns cannot be predicted. This paper investigates the stock prices behavior of five ASEAN (Association of Southeast Asian Nations) countries i.e., Indonesia, Malaysia, Philippines, Singapore and Thailand, for the period from 1990:1 to 2009:1 using a two-regime threshold autoregressive (TAR) approach which allows testing non-linearity and non-stationarity simultaneously. Among the main findings, our results indicate that stock prices of Malaysia and Thailand are a non-linear series and are characterized by a unit root process, consistent with the EMH. Furthermore, we find that stock prices of Indonesia, Philippines and Singapore follow a non-linear series, however, stock price indices are stationary processes that are inconsistent with the EMH.
机译：当股票价格具有随机游走（单位根）过程的特征时，有效市场假说（EMH）表明股票市场的收益是无法通过历史价格变化来预测的。单位根的发现意味着无法预测库存收益。本文使用两个制度的阈值自回归（TAR），调查了东南亚国家联盟（ASEAN）五个国家（即印度尼西亚，马来西亚，菲律宾，新加坡和泰国）在1990：1至2009：1期间的股价行为）允许同时测试非线性和非平稳性的方法。在主要发现中，我们的结果表明马来西亚和泰国的股票价格是非线性序列，并且具有与EMH一致的单位根过程。此外，我们发现印尼，菲律宾和新加坡的股票价格遵循非线性序列，但是，股票价格指数是固定的过程，与EMH不一致。

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  • 来源
    《The Singapore economic review》 |2012年第3期|p.1250021.1-1250021.12|共12页
  • 作者

    QAISER MUNIR; KOK SOOK CHING; FUMITAKA FUROUKA; KASIM MANSUR;

  • 作者单位

    School of Business and Economics Universiti Malaysia Sabah, Locked Bag 2073 88999 Kota Kinabalu, Sabah, Malaysia;

    School of Business and Economics Universiti Malaysia Sabah, Locked Bag 2073 88999 Kota Kinabalu, Sabah, Malaysia;

    School of Business and Economics Universiti Malaysia Sabah, Locked Bag 2073 88999 Kota Kinabalu, Sabah, Malaysia;

    School of Business and Economics Universiti Malaysia Sabah, Locked Bag 2073 88999 Kota Kinabalu, Sabah, Malaysia;

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  • 正文语种 eng
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  • 关键词

    efficient market hypothesis; threshold autoregressive model; unit root;

    机译：有效的市场假设;门限自回归模型单位根;

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