Testing weak form of efficient market hypothesis: Empirical evidence from South-Asia

With the advent of world crisis in developed western economies during first decade of 21 ^st century investors' focus shifted towards East. South Asian markets displayed outstanding performance in this era. One of the major attractions for investors is the market efficiency of underlying economy. This study has examined the weak form of efficient market hypothesis on the four major stock exchanges of South Asia including, India, Pakistan, Bangladesh and Sri Lanka. Historical index values on a monthly, weekly and daily basis for a period of 14 Years (1997-2011) were used for analysis. We applied four statistical tests including runs test, serial correlation, unit root and variance ratio test. Findings suggest that none of the four major stock markets of south-Asia follows Random-walk and hence all these markets are not the weak form of efficient market. To our knowledge this is the first ever study is being conducted which covers leading South Asian markets, hence an evidence on market efficiency of this region is being contributed in literature.