Do Asian Stock Market Prices Follow Martingales? Evidence from Spectral Shape Test  

Oleh:

Mun, Fong Wai ; Kee, Koh Seng

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Asia Pacific Journal of Management vol. 11 no. 2 (Okt. 1994), page 345-359.
Fulltext: Fong Wai Mun.pdf (33.42KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: AA66 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The martingale hypothesis is examined for 5 Asian stock markets using the spectral shape tests of Durlauf (1991). Unlike the variance ratio test used in prior studies, the spectral shape tests are consistent against all stationary alternatives to the martingale null. With daily data, both tests reject the null for all 5 markets: Thailand, Hong Kong, Korea, Malaysia, and Taiwan. With weekly data, the null is rejected for Thailand and Malaysia. As expected, the spectral shape tests yield stronger rejections of the null than the variance ratio test. Departures from the martingale cannot be entirely attributed to problems caused by infrequent trading. The use of value-weighted indexes means that only the most actively traded stocks are included in the market portfolios. Plausible models of infrequent trading also suggest geometrically declining returns autocorrelations past lag one. The persistent and mainly positive autocorrelations found at distant lags may mean returns have long memory.

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