Asian Stock Markets’ Efficiency: An Econophysics Approach

Studying the efficiency in stock markets remains of importance as it can provide information about the possibility to make predictions concerning those markets. This paper’s purpose is to study the behavior of 17 Asian stock markets, divided in three different groups: developed, emergent and frontier markets. The results point towards a deviation from the random walk of almost all indexes - the exceptions are the Japanese and the Korean markets. Surprisingly, developed markets show less efficiency than emerging markets. The fact that those markets suffered in the last years from severe economic problems (including contagion) could explain such results. Frontier markets, which are less developed and less liquid, have higher evidence of inefficiency.