Abstract

This research paper investigates the efficiency of stock market and volatility behavior of eight Asian Emerging market indices. This study used the secondary daily time series data for the period of ten years from 01-01-2004 to 31-12-2013. The Econometric models (GARCH, Autocorrelation and Runs Test) where used to test the volatility and market efficiency of Asian emerging stock markets. Besides, the long run relationship was studied. The Hypotheses about the importance of different channels are tested .This paper provides significant evidences of market efficiency and randomness distribution in these emerging Asian markets. The findings of this study will be useful for investing Community, Government and Policy Regulators in these sample countries.

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