Efficient Market Hypothesis Of Thai Stock Market Dissertation

Efficient Market Hypothesis Of Thai Stock Market - Dissertation Example Value of Durbin-Watson statistics ranged from 0 to 4. A value of zero or near to zero indicated negative autocorrelation, while the value of 2 or near to 2 indicated a positive correlation. Findings as reported in chapter 4 demonstrate that values of Durbin-Watson test for SET 100 Index within series of daily data, monthly data and quarterly data were 1.014, .607, and 1.129 respectively. Therefore, in the individual cases of SET100 for daily and quarterly data, the Durbin-Watson test values were closer to value two that meant no autocorrelation within the finance sector for SET100 daily and quarterly data for the period of 1st January 2010 to December 2013. However, Durbin-Watson test reported for SET100 on monthly data revealed the autocorrelation within the finance sector of Thailand during 1st January 2010 and December 2013. When looked at the overall results of Durbin-Watson for SET100 Index, It was found that stock exchange market of Thailand was not fully efficient and demonstr ated the weak form of efficiency during the concerned period of four years. Findings of Durbin-Watson test for SET50 Index within series of daily data, monthly data and quarterly data were 1.129, 1.377. Results of SET50 Index within series of data from daily and monthly demonstrated that values nearer to the value of two. On other hands, the result of Durbin-Watson test for SET50 Index within series of data on quarterly showed the value of .706 that indicated autocorrelation in the Finance sector of Thailand during four years period.