Return behavior of the individual stocks: an empirical test on the weak form efficiency of SET50 and SET100 stocks on the Stock Exchange of Thailand.
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Abstract
This study tests the weak-form market efficiency of weekly returns of each individual
stock in SET50 and SET100 indices of the Stock Exchange of Thailand during January 2009
to January 2020, using serial correlation tests and runs tests. The study finds that the correlation
coefficients of past weeks’ returns and current week’s return are very low in magnitude,
and about 90% of those correlation coefficients are not statistically significant. The run test
shows that, for about 90% of all individual stocks under study, the null hypothesis that weekly
individual stock price changes are random cannot be rejected. Therefore, the results of this
study support the weak-form efficiency of those individual stocks in SET50 and SET100 indices,
implying that any trading strategies in SET50- or SET100-stocks that rely on the stocks’
past price history are unlikely to make abnormal profits.
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