Weak-form efficiency in the Kuala Lumpur and Singapore stock markets

Previous weak-form efficiency tests of the Kuala Lumpur and Singapore stock markets have mixed findings but mostly have suggested close conformity with a random walk. Using a disparate type of sample data over a longer and diverse time period, this paper seeks to replicate the earlier investigations of these two thin markets in order to verify whether the previous results may be sample specific. The distribution of daily stock returns is also examined to determine the validity of using statistical tests based on the normality assumption. Results tend predominately to confirm independence of serial stock returns and indicate distinctly nonnormal distributions.