Market Randomness and Weak-Form Efficiency Revisited : A Global Investigation

The main objective of this paper is to test the Efficient Market Hypothesis (EMH) for countries at different economic development levels. The paper employs the use of the FTSE Group classification system and provides a comprehensive survey of international evidence including 17 developed and 12 emerging world markets. The sampling period is from 2005 through 2013. The findings explicitly show that market efficiency is associated with economic development level and the developed countries exhibit greater evidence of market efficiency. The results suggest that the evidence of weak-form market efficiency is becoming prevalent in the major Pacific-Rim countries. Among the emerging markets, while countries with rapid market development are found to be weak-form efficient, low ranked emerging markets so called Watch List and Stand Alone countries are unlikely to be efficient