Title: Rise of the 'tiger cub' economies: an empirical investigation of Southeast Asian stock market efficiency

Authors: Panha Heng; Scott J. Niblock

Addresses: Southern Cross Business School, Southern Cross University, Gold Coast Campus, Southern Cross Drive, Bilinga, QLD, 4225, Australia ' Southern Cross Business School, Southern Cross University, Gold Coast Campus, Southern Cross Drive, Bilinga, QLD, 4225, Australia

Abstract: This paper assesses the evolving efficiency status of Southeast Asian (SEA) 'tiger cub' stock markets. The weak-form efficient market hypothesis (EMH) is examined using daily price index data and variance ratio tests from 2000 to 2012. We also explore two diverse sub-periods of economic activity concerning the global financial crisis (GFC); pre-GFC (2000-2006) and GFC (2007-2012). The pre-GFC test findings show that price return predictability exists in the stock markets of Indonesia, Malaysia and the Philippines. In the GFC period, the results reveal that the Indonesian stock market became less predictable, while Malaysia and the Philippines demonstrated similar pre-GFC return predictabilities. The Thai stock market followed a random walk across all periods investigated. Despite uncertainty surrounding the Association of Southeast Asian Nations (ASEAN) economic initiative, it appears that key tiger cub stock markets are becoming more weak-form efficient.

Keywords: ASEAN; random walks; Southeast Asia; stock markets; weak-form efficiency; global financial crisis; GFC; tiger cub economies; stock market efficiency; weak-form EMH; efficient market hypothesis; daily price index; variance ratio testing; price return predictability; Indonesia; Philippines; Malaysia; Thailand.

DOI: 10.1504/IJEBR.2014.065514

International Journal of Economics and Business Research, 2014 Vol.8 No.4, pp.474 - 489

Received: 15 Nov 2013
Accepted: 13 Feb 2014
Published online: 31 Oct 2014 *

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