| Summary: | 碩士 === 明新科技大學 === 管理研究所 === 101 === Stock price stationarity has several important economic implications. This paper applies the recently developed Fourier unit root test to re-examine weak form efficiency for Asia’s 13 major stock markets, during July 1997 to December 2012. Empirical results from two conventional unit root tests indicate that these stock markets are weak form efficient. However, conducting the unit root test with a Fourier function showed that most stock markets are not weak form efficient, with exceptions including Japan (quarterly data), Singapore (weekly data), and Taiwan (quarterly data). By considering two time windows of crises, Asian financial crisis (1997-1999) and Global economic crisis (2007-2009) show results that both support the not weak form efficient for all frequencies. Investors thus can benefit through arbitrage from profitable opportunities across these markets.
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