Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data of stock prices for the period from 2010M01 to 2019M07 for seven markets (Tunindex) ‎in Tunisia and 6 Asian countries : Saudi Arabia (TSAI), Japon (Nikkei 225), China (SSEC), ‎Turkey (BIST100), India (BSE30), and Indonesia (JKSE) by using linear and nonlinear (KSS ‎and Modified KSS) unit root tests. Our empirical results indicate that the stock markets are ‎efficient [not efficient] in the weak form of EMH in Tunisia and Saudi Arabia [Japan, ‎Turkey, India, Indonesia, and China]. The major policy implications is that in these five ‎countries (Japan, Turkey, India, Indonesia, and China), fund managers and investors can ‎enjoy excess returns to their investment. ‎