Daily variation, capital market efficiency and predicting stock returns for the Hong Kong and Tokyo exchanges

Abstract

Studying capital market efficiency is important because result may infer that there are predictable properties of the time series of prices of traded securities on organized markets. We examine the weak form of the efficient markets hypothesis to indicate its usefulness in terms of the results of this study. Furthermore, this study of individual securities prices of traded securities on the organized markets of Hong Kong and Japan corroborate previous findings of studies of individual stocks and market indexes both in Asian nations, the United States and other stock exchanges in the United Kingdom and Europe. Daily patterns are present in the times series of securities prices. You will note also, that the models identified reflect the returns on individual firms listed on the two of the three largest Asian Stock Exchanges.

Notes

¹ We thank the personnel and officers of PACAP for permitting to use the data they graciously supplied. The purpose of this organization entitled the Sandra Ann Morsilli Pacific-Basin Capital Markets Research Center at the University of Rhode Island to promote both research and teaching about the Pacific Basin.