This paper seeks to study capital market efficiency, because results may infer that there are predictable properties of the time series of prices of traded securities on organized markets in Hong Kong, the third largest exchange in the Pacific‐Basin of Asia.
The weak form of the efficient markets hypothesis is examined to indicate its usefulness in terms of the results of this study. Do the data indicate that the times series of closing prices is a random walk or are their predictable properties?
It will be noted from the results that the model identifies predictive short‐term properties that exist in the data of returns of Hong Kong Exchanges for the period studied.
Conclusions are limited to those firms studied and the time period covered.
For the securities exchanges in Hong Kong, evidence indicates that the weak form of the efficient markets hypothesis does not characterize the trading market.
