- Institute of business administration (IBA)
Karachi, Pakistan - Phone: +922138104700 ext. 2622
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... of Real Exchange Rate on Thailand's Export by Hway-Boon Ong & Yih-Jian Yoong & Siew ... Asian Real Exchange Rates by Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim & ... 2008,... more
... of Real Exchange Rate on Thailand's Export by Hway-Boon Ong & Yih-Jian Yoong & Siew ... Asian Real Exchange Rates by Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim & ... 2008, Volume VII, Issue 4: 6-22 Monetary Conditions Index in Singapore by Wai-Ching Poon & ...
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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... more
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 behavior of five ASEAN countries i.e., Indonesia, Malaysia, Philippines, Singapore and Thailand stock prices for the period from 1990:1 to 2009:1 using a two-regime threshold autoregressive (TAR) approach which allows testing nonlinearity and nonstationarity simultaneously. Among the main findings, our results indicate that stock prices of Malaysia and Thailand are nonlinear series and characterized by a unit root process, consistent with the efficient market hypothesis. Furthermore, we find that stock prices of Indonesia, Philippines and Singapore are nonlinear series, however, stock price indices are stationary process that are inconsistent with the efficient market hypothesis.