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Does the Market for Alternative Investment (MAI) In Thailand Have Weak-Form Market Efficiency? |
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| รหัสดีโอไอ | |
| Creator | Wongtawan Uthumrat |
| Title | Does the Market for Alternative Investment (MAI) In Thailand Have Weak-Form Market Efficiency? |
| Publisher | Business Administration Kasetsart University |
| Publication Year | 2565 |
| Journal Title | Kasetsart Applied Business Journal |
| Journal Vol. | 16 |
| Journal No. | 25 |
| Page no. | 63-82 |
| Keyword | Weak-Form Market Efficiency, Market for Alternative Investment, Short-term Forecasting |
| URL Website | https://so04.tci-thaijo.org/index.php/KAB/about |
| Website title | http://journal.bus.ku.ac.th/ |
| ISSN | 25396250 ONLINE |
| Abstract | This research investigates the weak-form efficiency of the Market for Alternative Investment (MAI) and industry groups using the daily total return data from January 5, 2015, to December 30, 2021. Testing utilized are Phillips-Perron (PP), Augmented Dickey-Fuller (ADF), and Variance Ratio Test (VR). The results reveal that neither the MAI nor all industry groups are the weak-form market efficiency, at a significance level of 0.01. In conclusion, investors may make an abnormal return by using historical data as predictors. Such a conclusion leads to the second part of the study, which predicts short-term forecasting by employing the Autoregressive Moving Average (ARMA) model. The final robustness test, which utilizes Two sample t-test confirms that investors can apply the ARMA model to forecast the total return of MAI and industry groups in the short term. |
