Efficient Market Testing of the Thai Stock Market During the COVID-19 Recession

• 발행기관: People & Global Business Association
• 저자명: Yoonmin Kim
• 간행물 정보: 『Global Business and Finance Review』Vol.30 No.1, 1~12쪽, 전체 12쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2025.01.30

국문 초록

Purpose: Recent asset market bubbles and crashes, especially during the COVID-19 recession, have challenged the Efficient Market Hypothesis (EMH). This study examines the Thai stock market during this period to test the validity of the EMH in an emerging market context. Design/methodology/approach: This study employs non-parametric tests to analyze the efficiency of the Thai stock market during the COVID-19 recession. It utilizes the augmented Dickey-Fuller (ADF) test, autocorrelation function (ACF) test, runs test, and variance ratio test to evaluate market behavior. Findings: The behavior of the Thai stock market (SET) failed to meet the criteria for weak and semi-strong form efficiency. Research limitations/implications: The findings indicate that market movements were potentially predictable, sug-gesting that some SET investors might have earned abnormal returns by having advance knowledge of shocks not yet reflected in stock prices. Originality/value: The findings suggest that both the Efficient Market Hypothesis and behavioral approaches are essential considerations for financial researchers and policymakers.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Research Methodology and Data

Ⅳ. Augmented Dickey-Fuller (ADF) Test

Ⅴ. Autocorrelation Function (ACF) Test

Ⅵ. Runs Test

Ⅶ. Variance Ratio Test

Ⅷ. Conclusion

Acknowledgement

References

키워드

Thai stock market Efficient Market Testing the COVID-19 recession stock prices Behavioral biases