Does the Market for Alternative Investment (MAI) In Thailand Have Weak-Form Market Efficiency?
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Abstract
This research investigates the weak-form efficiency of the Market for Alternative Investment (MAI) and industry groups using the daily total return data from January 5, 2015, to December 30, 2021. Testing utilized are Phillips-Perron (PP), Augmented Dickey-Fuller (ADF), and Variance Ratio Test (VR). The results reveal that neither the MAI nor all industry groups are the weak-form market efficiency, at a significance level of 0.01. In conclusion, investors may make an abnormal return by using historical data as predictors. Such a conclusion leads to the second part of the study, which predicts short-term forecasting by employing
the Autoregressive Moving Average (ARMA) model. The final robustness test, which utilizes Two sample t-test confirms that investors can apply the ARMA model to forecast the total return of MAI and industry groups in the short term.
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