DO ASIAN STOCK MARKET PRICES FOLLOW MARTINGALES? EVIDENCE FROM SPECTRAL SHAPE TESTS.

This paper examines the martin gale hypothesis for five Asian stock markets using the spectral shape tests of Durlauf (1991). Unlike the variance ratio test employed in previous studies (eg, Pan et al, 1991), the spectral shape tests are consistent against all stationary alternatives to the martingale null. The spectral shape tests were applied to daily and weekly returns on the stock indices of Thailand, Hong Kong, Korea, Malaysia and Taiwan over a period of 17 years. The results show that the martingale null is rejected for most markets. There is some evidence that the rejections may be due to low frequency or long memory influences. [ABSTRACT FROM AUTHOR]