13 
Efficiency of Asean-5 Markets: An Detrended 
Fluctuation Analysis 
Rui Dias
*
 | Paula Heliodoro
**
 | Paulo Alexandre
***
 
Abstract: This study intends to analyse efficiency, in its weak form, in the 
financial markets of Indonesia, Malaysia, Philippines, Singapore, Thailand 
(Asean-5), and China, during the global pandemic (Covid-19). Different 
approaches have been undertaken to carry out this analysis in order to 
determine whether: Asean -5 financial markets and China are efficient, in 
their weak form, during the analysis period? The results indicate that the 
random walk hypothesis is rejected in all markets. The values of the variance 
ratios are, in all cases, lower than the unit, which implies that the returns are 
autocorrelated over time and, there is a reversion to the average, in all 
indices. In corroboration, the exponents Detrended Fluctuation Analysis 
(DFA), indicate significant long memories with a larger incidence in the 
Philippines and Singapore markets, however the Chinese market evidences 
anti persistence. These results demonstrate that stock prices do not 
completely reflect the available information and that stock prices 
movements are not i.i.d. This has implications for investors, as some returns 
can be expected, creating opportunities for arbitrage and abnormal returns, 
contrary to the assumptions of random walk and information efficiency. 
These conclusions also allow market regulators to implement measures to 
ensure better information in these regional markets. 
Keywords: Covid-19; Asean-5; long memories; arbitrage; portfolio 
diversification.  
JEL classification: C58, G10, G11, G12, G14, G15, F3 
Uč i n ko v i tost trgov Asean-5: analiza nihanj z 
odstranitvijo trenda 
Povzetek: Namen te raziskave je preučiti učinkovitost finančnih trgov v 
njihovi šibki obliki v Indoneziji, Maleziji, Singapurju, na Filipinih, Tajskem 
(Asean-5) in Kitajskem v času svetovne pandemije (Covid-19). Z različnimi 
pristopi smo s to analizo želeli ugotoviti, ali so finančni trgi držav Asean-5 
in Kitajske v preučevanem obdobju učinkoviti v svoji šibki obliki. Rezultati 
kažejo, da je hipoteza naključnega gibanja ovržena za vse trge. Vrednosti 
razmerij varianc so v vseh primerih nižje od enote, kar kaže, da so donosi 
skozi čas avtokorelirani in da se vsi kazalniki vračajo k srednji vrednosti. To 
potrjuje eksponent analize nihanj z odstranitvijo trenda (DFA), ki kaže na 
občutne dolgotrajne spomine z večjo pojavnostjo na filipinskem in 
singapurskem trgu, pri čemer pa se na kitajskem trgu kaže odmik od 
vztrajnosti. Rezultati kažejo, da cene delnic v celoti ne odražajo 
razpoložljivih informacij in da gibanje teh cen ni neodvisno in enakomerno 
porazdeljeno. To ima posledice za investitorje, saj je mogoče pričakovati 
določen donos, kar ustvarja priložnosti za arbitražo in neobičajne donose, 
kar je v nasprotju s predpostavkama o naključnem gibanju in učinkovitosti 
informacij. Ti zaključki regulatorjem trga omogočajo izvajanje ukrepov za 
1.01 Original scientific article = Izvirni znanstveni članek  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
* 
Assoc. Prof. Dr., Escola Superior de Ciências 
Empresarias - Institute Polytechnic of Setúbal, 
Estefanilha, 2914-503 Setúbal, Portugal & 
CEFAGE, Universidade de Évora, Palácio do 
Vimioso (Gab. 224), Largo Marquês de Marialva, 
87000-809 Évora, Portugal; rui.dias@esce.ips.pt  
**
Assist. Prof. Dr., Escola Superior de Ciências 
Empresariais – Institute Polytechnic of Setúbal, 
Estefanilha, 2914-503 Setúbal, Portugal; 
paula.heliodoro@esce.ips.pt 
***
 Assoc. Prof. Dr., Escola de Ciências 
Empresariais – Institute Polytechnic of Setúbal, 
Estefanilha, 2914-503 Setúbal, Portugal; 
paulo.alexandre@esce.ips.pt 
How to cite this paper = Kako citirati ta članek: 
Dias, R., Heliodoro, P., Alexandre, P. (2020). 
Efficiency of Asean-5 Markets: An Detrended 
Fluctuation Analysis. Mednarodno inovativno 
poslovanje = Journal of Innovative Business and 
Management, 12(2), 13-19, 
DOI: 10.32015/JIBM.2020.12.2.2.13-19. 
© Copyrights are protected by = Avtorske pravice 
so zaščitene s: 
 Creative Commons Attribution-Noncommercial 
4.0 International License (CC BY-NC 4.0) = 
Creative Commons priznanje avtorstva-
nekomercialno 4.0 mednarodna licenca (CC BY-
NC 4.0) 
Mednarodno inovativno poslovanje = Journal of 
Innovative Business and Management  
ISSN: 1855-6175 
 
 
 

Dias, R., Heliodoro, P., Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis 
14 
Mednarodno inovativno poslovanje = Journal of Innovative Business and Management 12(2), 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19 
zagotavljanje boljše informiranosti na teh regionalnih trgih.Ključne besede: Covid-19; ASEAN-5; long memories; 
arbitrage; portfolio diversification.  
Ključne besede: Covid-19; Asean-5; dolgoročni spomin; arbitraža; razpršitev portfelja. 
JEL klasifikacija: C58, G10, G11, G12, G14, G15, F3 
1. Introduction 
The Covid-19 pandemic negatively affects global trade as well as, social and cultural life, including 
tourism, commodity trade, industrial production, aviation, and others. Rating agencies such as Moody's 
and Standard & Poor’s have therefore a reduction in forecast for China GDP growth in 2020. Aligned with 
all these negative effects, it seems inevitable that stock markets, economic growth and exchange rates 
have also been affected equally. (Liu, Manzoor, Wang, Zhang and Manzoor, 2020). 
Several studies have analysed the question of market efficiency, examining the assumption of 
predictability of returns by analysing the average reversal in financial market prices (Fama and French, 
1988). When the assumptions of random walk and information efficiency are rejected, they cause extreme 
comovements in stock prices. The occurrence of these events, may eventually, reduce the implementation 
of efficient portfolio diversification strategies (Sadat and Hasan, 2019). 
This research will test the hypothesis of efficiency, in its weak form, in the financial markets of Indonesia, 
Malaysia, Philippines, Singapore, Thailand (ASEAN-5), and China, during the pandemic outbreak (Covid-
19). The results suggest that the random walk hypothesis is rejected in all markets. In corroboration, the 
exponents Detrended Fluctuation Analysis (DFA), indicate significant long memories with a larger 
incidence in the Philippines and Singapore markets, but the China market evidences anti persistence. 
This research adds contributions to the literature, namely the survey on market efficiency in its weak form, 
in the stock market indices of Indonesia, Malaysia, Philippines, Singapore, Thailand (ASEAN-5), and China, 
during the pandemic outbreak (Covid-19). According to our information, this study is the first to analyse 
these financial markets in a separate way. However, there are recent research that examined the impact 
of the global 2020 pandemic on financial markets, namely the authors' studies Morales and Andreosso-
O´Callaghan (2020), Şenol and Zeren (2020). Although the approach was rather different from that 
followed in this study. 
In terms of structure this paper is organised in 5 sections. Section 1 is represented by the current 
introduction. Section 2 presents a literature review on articles concerning contagion in financial markets. 
Section 3 describes the data and methodology. Section 4 contains the results. Finally, Section 5 presents 
the main conclusions.  
In terms of structure this paper is organised in 5 sections. Section 1 is represented by the current 
introduction. Section 2 presents a literature review on articles concerning the efficient market hypothesis 
in international financial markets. Section 3 describes the data and methodology. Section 4 contains the 
results. Finally, Section 5 presents the main conclusions. 
2. Literature review 
The subject of the efficient market hypothesis (EMH) has motivated several studies to analyse the 
implications of the market efficiency hypothesis, according to which the current price of assets reflects 
all available information, at a given moment, and the price adjusts quickly, as new and unforeseen 
information reaches the market (Fama and French, 1988). 
Nisar and Hanif (2012), Mehla and Goyal (2013), El Khamlichi, Sarkar, Arouri, and Teulon (2014), tested 
the hypotheses of random walk and, of efficient market, in its weak form, in the Asian markets. Nisar and 

Dias, R., Heliodoro, P., Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis 
15 
Mednarodno inovativno poslovanje = Journal of Innovative Business and Management 12(2), 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19 
Hanif (2012) studied the major stock exchanges in South Asia, including India, Pakistan, Bangladesh and 
Sri Lanka, and showed market (in)efficiency, in their weak form. Mehla and Goyal (2013) suggested that 
the Indian market did not show the characteristics of random walk, therefore was not efficient, in its weak 
form. El Khamlichi et al. (2014) evidenced that Islamic indices have the same level of (in) efficiency as the 
benchmarks, but the MSCI and FTSE indices are less inefficient. Additionally, Islamic indices and their 
benchmarks are not integrated, which suggests the existence of opportunities for diversification in the 
long term. 
Malhotra, Tandon, and Tandon (2015), Andrianto and Mirza (2016), Hamid et al., (2017), Singh and Kumar 
(2018) analysed the Asian markets, in a context of efficiency, in their weak form. Malhotra, Tandon, and 
Tandon (2015) evidenced that the efficient market hypothesis is rejected. The authors argue that these 
results have important implications for investors who can exploit market inefficiency and obtain 
anomalous returns while holding a well-diversified portfolio in these emerging markets. Andrianto and 
Mirza (2016) evidenced that the Indonesian stock market is efficient in its weak form, suggesting that the 
daily stock price movement is random, and does not have autocorrelation. Singh and Kumar (2018) 
suggested that the Kuala Lumpur Stock Exchange, Malaysia, is not efficient in its weak form. Hamid et al. 
(2017) suggested that prices do not follow the random walk hypothesis in the countries of the Asia-Pacific 
region. As a result, investors can benefit from the arbitration process and obtaining anomalous returns 
without incurring additional risk. Aggarwal (2018), Rehman, Chhapra, Kashif, and Rehan (2018), Karasiński 
(2020) have studied efficiency in several financial markets. Aggarwal (2018) analysed the market 
efficiency and persistence of the Korean stock market (KOSPI), and suggests that weekly series that do 
not follow a random walk process. Rehman, Chhapra, Kashif, and Rehan (2018) demonstrate that the stock 
market indices of Pakistan, India and Bangladesh are not efficient in their weak form. Karasiński (2020) 
analysed efficiency, in its weak form, in European markets, and evidenced that global efficiency tended to 
improve after the global financial crisis of 2008. 
In summary, this work aims to contribute to providing information to investors and regulators in ASEAN-5 
financial markets, and to assess whether these regional markets are efficient, in their weak form, in the 
context of the global pandemic (COVID-19).  
3. Data and methodology 
The data used for this study were the daily prices index for the markets of Indonesia, Malaysia, Thailand, 
Singapore, Philippines, and China, from 02 January 2019 to 06 July 2020. The source of information used 
was the Thomson Reuters platform, with local currency stock prices being used to mitigate exchange rate 
distortions.  
Table 1: The name of countries and their indices used in this paper 
Country / Region name Index 
Indonesia / ASEAN-5 Jakarta Stock Exchange Composite Index 
Malaysia / ASEAN-5 FTSE Bursa Malaysia Index 
Philippines / ASEAN-5 
Philippines Stock Exchange PSEi Index 
 
Singapore / ASEAN-5 Singapore Exchange - SGX 
Thailand / ASEAN-5 Stock Exchange of Thailand 
China / Asia Shanghai Stock Exchange Composite Index 
Source: Own elaboration 
The development of research has taken place in several stages. To test the random walk hypothesis we 
used the non-parametric test developed by Wright (2000), because it is a test more resilient to time series 
that do not exhibit normality and quite consistent when they show series correlation. The methodology of 
this author consists of two types of tests, the Position test (Rankings) for homoscedastic series and the 

Dias, R., Heliodoro, P., Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis 
16 
Mednarodno inovativno poslovanje = Journal of Innovative Business and Management 12(2), 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19 
Signals test for heteroscedastic series. The ratio of variances is given by the relation between the variance 
of q periods and of a single period, being the same equal to 1: thus, in the variance ratio test, under the 
null hypothesis 𝑉𝑅 (𝑞 ) = 1, the series follows a random walk type process. When the hypothesis of 
randomness is rejected and 𝑉𝑅 (𝑞 ) > 1, the series indicates the existence of positive correlation. When 
the null hypothesis is rejected and 𝑉𝑅 (𝑞 ) < 1, the series exhibits negative series correlation. In order to 
validate the outcome, the Detrended Fluctuation Analysis (DFA) will be used. The DFA is a method of 
analysis that examines the time dependency in non-stationary data series. This technique by assuming 
that time series are non-stationary avoids spurious results when the analysis focuses on the relationships 
of data series in the long term. This methodology was developed by Peng et al. (1994), and in its origin, 
has the study of the behaviour of DNA. Later this method was used to examine the behaviour of financial 
series. DFA has the following interpretation:0 < 𝛼 < 0,5: anti-persistent series; 𝛼 = 0,5 series contains 
random walk; 0,5 < 𝛼 < 1 persistent series. 
4. Results 
The sample comprises the time horizon from July 2, 2019 to July 6, 2020, which is a very complex period 
due to the global pandemic outbreak (Covid-19). The financial market indices analysed clearly reveal the 
volatility experienced in these markets in January, February, and March 2020. 
3,500
4,000
4,500
5,000
5,500
6,000
6,500
7,000
I II III IV I II
2019 2020
INDONESIA
1,200
1,300
1,400
1,500
1,600
1,700
1,800
I II III IV I II
2019 2020
MALAYSIA
4,000
5,000
6,000
7,000
8,000
9,000
I II III IV I II
2019 2020
PHILIPPINES
140
160
180
200
220
240
I II III IV I II
2019 2020
SINGAPORE
10,000
11,000
12,000
13,000
14,000
15,000
16,000
I II III IV I II
2019 2020
SSEC
1,000
1,200
1,400
1,600
1,800
I II III IV I II
2019 2020
THAILAND
 
Figure 1: Evolution, in levels, of the 6 financial markets, from 02/01/2019 to 06/07/2020 
Source: Own elaboration 
Note: Thomson Reuters: 2 January 2019, 372 spot data 

Dias, R., Heliodoro, P., Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis 
17 
Mednarodno inovativno poslovanje = Journal of Innovative Business and Management 12(2), 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19 
Table 2 illustrates the main descriptive statistics of the six indices for the entire sample period. The 
average is negative in most stock market indices, except in China. The Philippines market presents the 
sharpest standard deviation. The results obtained demonstrate that the yield series suggest deviations 
from the hypothesis of normality. Additionally, the asymmetry and kurtosis coefficients are statistically 
different from those of a normal distribution, being the same leptokurtic and asymmetric. 
Table 2: Descriptive statistics, in returns, of the 6 financial markets in the full period 
 
 
 
 
 
 
 
 
 
 
Source: Own elaboration 
The non-parametric methodology Wright (2000), which includes the Rankings and Signals Variance tests, 
in the period from January 2019 to July 2020, were estimated for the lags of 2, 4, 8 and 16 days. 
Considering the results of Wright's (2000) Rankings variance test, the random walk hypothesis is rejected 
in all indices. In turn, the Sign Test also corroborates the rejection of the random walk hypothesis in all 
data series. The values of the variance ratios are, in all cases, lower than the unit, which implies that the 
yields are autocorrelated over time and, there is a reversion to the mean, in all indices. The results obtained 
suggest that the random walk hypothesis and the informational efficiency hypothesis of financial markets 
are rejected, and are consistent with those obtained in other studies, namely by the authors Hamid, 
Suleman, Ali Shah and Imdad Akash (2017), Aggarwal (2018), Sadat and Hasan (2019). 
Table 3: Wright's (2000) Rankings and Signs Ratio Tests for the ASEAN-5 and China markets in the Full 
Period 
Source: Own elaboration 
Note: The variance tests by Rankings and are based on the assumption of homoscedasticity. The Signs Test is based on the 
presence of heteroscedasticity. In both cases, the statistics were calculated for lags of 2, 4, 8 and 16 days. The values immediately 
below indicate the estimates of the variance ratio. ***. **. *. represent significance at 1%. 5% and 10%, respectively. 
 Indonesia Malaysia Philippines Singapore Ssec Thailand 
 Mean -0.000576 -0.000189 -0.000476 -0.000441  0.001182 -0.000325 
 Std. Dev.  0.013235  0.009198  0.017319  0.012043  0.013445  0.014708 
 Skewness  0.259166 -0.359190 -2.275348 -0.921184 -0.137445 -2.284142 
 Kurtosis  14.59784  16.07913  20.94910  14.05632  7.673842  23.68051 
 Jarque-Bera  2089.069
***
  2659.486
***
  5314.625
***
  1947.365
***
  339.7656
***
  6952.568
***
 
 Sum -0.214300 -0.070492 -0.177227 -0.163961  0.439684 -0.120736 
 S. Sq. Dev.  0.064985  0.031385  0.111281  0.053807  0.067069  0.080256 
 Observations  372  372  372  372  372  372 
  
Wright 
q=2 q=4 q=8 q=16 
R1 R2 S1 R1 R2 S1 R1 R2 S1 R1 R2 S1 
Indonesia 
-19.24
***
 -19.84
***
 -13.87
***
 -16.34
***
 -17.06
***
 -11.45
***
 -12.15
***
 -12.85
***
 -8.32
***
 -8.71
***
 -9.22
***
 -5.80
***
 
0.56 0.55 0.68 0.30 0.27 0.51 0.18 0.14 0.44 0.13 0.08 0.42 
Malaysia 
-19.80
***
 -20.30
***
 -15.24
***
 -16.61
***
 -17.36
***
 -11.92
***
 -12.20
***
 -12.75
***
 -8.94
***
 -8.84
***
 -9.20
***
 -6.36
***
 
0.55 0.54 0.65 0.29 0.26 0.50 0.18 0.14 0.40 0.12 0.08 0.36 
Philippines 
-22.30
***
 -23.05
***
 -16.33
***
 -17.01
***
  -17.70
***
 -12.14
***
 -12.38
***
 -12.87
***
 -8.84
***
 -8.97
***
 -9.27
***
 -6.03
***
 
0.49 0.48 0.63 0.27 0.25 0.48 0.16 0.14 0.41 0.10 0.07 0.40 
Singapore 
-18.71
***
 -19.50 -13.05
***
 -15.78
***
 -16.61
***
 -10.84
***
 -11.90
***
 -12.50
***
 -8.04
***
 -8.67
***
 -9.08
***
 -5.50
***
 
0.57 0.56 0.70 0.33 0.30 0.54 0.20 0.16 0.46 0.13 0.09 0.45 
Thailand 
-21.61
***
 -22.12
***
 -15.96
***
 -17.04
***
 -17.77
***
 -12.05
***
 -12.38
***
 -12.82
***
 -8.59
***
 -8.93
***
 -9.19
***
 -6.28
***
 
0.50 0.50 0.64 0.28 0.24 0.49 0.17 0.14 0.42 0.11 0.08 0.37 
SSEC 
-20.86
***
 -21.94
***
 -15.74
***
 -16.64
***
 -17.32
***
 -12.00
***
 -12.17
***
 -12.69
***
 -8.91
***
 -8.62
***
 -8.95
***
 -6.37
***
 
0.53 0.50 0.64 0.29 0.26 0.49 0.18 0.15 0.40 0.14 0.10 0.36 

Dias, R., Heliodoro, P., Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis 
18 
Mednarodno inovativno poslovanje = Journal of Innovative Business and Management 12(2), 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19 
Table 4 and figure 2 illustrates the results of the DFA exponents, and we can verify that the markets 
indicate long memories, with a stronger incidence in the Philippines and Singapore markets, however the 
China market shows anti- persistence. These results indicate that prices do not fully reflect the available 
information and that price changes are not i.i.d. This has implications for investors, as some returns can 
be expected, creating opportunities for arbitrage and abnormal returns, contrary to the assumptions of 
random walk and information efficiency. These results are consistent with the evidence suggested by the 
authors Aggarwal (2018), Rehman, Chhapra, Kashif, and Rehan (2018) which demonstrate (in) efficiency, 
in its weak form, and that portfolio diversification may be questioned. 
Table 4: DFA results. The hypotheses are 𝐻 0
: α = 0.5 and 𝐻 1
: α ≠ 0.5 
Stock market DFA exponent (Covid period) 
Indonesia 0.58 ≌ 0.0001 
Malaysia 0.57 ≌ 0.0012 
Philippines 0.57 ≌ 0.0017 
Singapore 0.64 ≌ 0.0034 
Thailand 0.62 ≌ 0.0011 
China 0.49 ≌ 0.0007 
Source: Own elaboration 
 
Figure 2: DFA exponent for return. The values of the linear adjustments for α DFA always had 𝑅 2
>0.99 
Source: Own elaboration 
5. Conclusion  
The general conclusion to be retained and sustained in the results obtained, through the tests performed 
with mathematical models, is that the random walk hypothesis is rejected in all indices. The values of the 
variance ratios are, in all cases, lower than the unit, which indicates that the yields are autocorrelated in 
time and, there is reversion to the mean, in all indices. In corroboration, through the DFA model, we have 
observed that these regional markets show signs of market (in)efficiency, in its weak form. The results 
obtained may have implications for investors, since some returns may be expected, creating opportunities 
for arbitrage and abnormal returns, contrary to the assumptions of random walk and information 
efficiency. These conclusions also provide an opportunity for market regulators to introduce measures to 
ensure better information between these regional and international markets. 
0 10 20 30 40 50 60 70 80
0,00
0,01
0,02
0,03
0,04
0,05
 CHINA
 PHILIPPINES
 INDONESIA
 MALAYSIA
 SINGAPORE
 THAILAND
DFA
Time scale (days)

Dias, R., Heliodoro, P., Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis 
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Mednarodno inovativno poslovanje = Journal of Innovative Business and Management 12(2), 13-19, DOI: 10.32015/JIBM.2020.12.2.2.13-19 
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