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Efficient Market Hypothesis Of Thai Stock Market Essay Example

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Efficient Market Hypothesis Of Thai Stock Market

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In order to test hypothesis H0 and H1 given in the second paragraph of this chapter, Durbin-Watson was applied. Value of Durbin-Watson statistics ranged from 0 to 4. A value of zero or near to zero indicated negative autocorrelation, while the value of 2 or near to 2 indicated a positive correlation. Findings as reported in chapter 4 demonstrate that values of Durbin-Watson test for SET 100 Index within series of daily data, monthly data and quarterly data were 1.014, .607, and 1.129 respectively. Therefore, in the individual cases of SET100 for daily and quarterly data, the Durbin-Watson test values were closer to value two that meant no autocorrelation within the finance sector for SET100 daily and quarterly data for the period of 1st January 2010 to December 2013. However, Durbin-Watson test reported for SET100 on monthly data revealed the autocorrelation within the finance sector of Thailand during 1st January 2010 and December 2013. When looked at the overall results of Durbin-Watson for SET100 Index, It was found that stock exchange market of Thailand was not fully efficient and demonstrated the weak form of efficiency during the concerned period of four years. Findings of Durbin-Watson test for SET50 Index within series of daily data, monthly data and quarterly data were 1.129, 1.377 and .706 respectively. Results of SET50 Index within series of data from daily and monthly demonstrated that values nearer to the value of two. On other hands, the result of Durbin-Watson test for SET50 Index within series of data on quarterly showed the value of .706 that indicated autocorrelation in the Finance sector of Thailand duringOverall results of Durbin-Watson test on SET50 Index validated that Thailand stock exchange market was not completely efficient and presented a weak form of efficiency during period of 1st January 2010 and December 2013. Aim behind this chapter to summarize the main points of thesis. Study implication and limitation are also presented in this chapter. In the final part of the chapter, suggestions for future research have been given.

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preview essay on Efficient Market Hypothesis Of Thai Stock Market
  • Pages: 62 (15500 words)
  • Document Type: Dissertation
  • Subject: Finance & Accounting
  • Level: Undergraduate
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