STRUCTURAL CHANGE IN THE EFFICIENCY OF THE ASEAN STOCK MARKETS AFTER THE MILLENNIUM

Sheung Tat Chan; Terence Tai-Leung Chong

doi:10.51200/lbibf.v7i.2589

STRUCTURAL CHANGE IN THE EFFICIENCY OF THE ASEAN STOCK MARKETS AFTER THE MILLENNIUM

Authors

Sheung Tat Chan The Chinese University of Hong Kong
Terence Tai-Leung Chong The Chinese University of Hong Kong

DOI:

https://doi.org/10.51200/lbibf.v7i.2589

Abstract

This paper examines the performance of the time-series model based trading rules in the ASEAN stock markets. Our results show that the trading rules are in general profitable, especially in the Malaysian and Indonesian stock markets, but the profitability has declined in recent years. Using a structural-change test, we find evidence that the efficiency of the ASEAN stock markets has improved after the millennium.

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Published

2009-12-31

How to Cite

Chan, S. T., & Chong, T. T.-L. (2009). STRUCTURAL CHANGE IN THE EFFICIENCY OF THE ASEAN STOCK MARKETS AFTER THE MILLENNIUM. Labuan Bulletin of International Business and Finance (LBIBF), 7, 77–99. https://doi.org/10.51200/lbibf.v7i.2589