Abstract
This study examines the efficiency of the ASEAN stock market and investigates the dynamic adaptability of this efficiency over time. Utilizing advanced methodologies, including the Multiple Variance Ratio (MV) and Wild Bootstrapped Variance Ratio (WBVR) tests, in conjunction with the Rolling Window technique, the research assesses market efficiency across different periods from March 2009 to March 2024. The analysis is conducted using daily price data, segmented into the overall market and three sub-groups based on market capitalization, to explore the potential impact of company size on market efficiency. The findings indicate that market efficiency is not static; it fluctuates, particularly during periods of economic crises or significant events, when all market segments exhibit inefficiency, deviating from the Random Walk theory. This suggests that during such periods, stock prices become more predictable, contrary to the expectations of an efficient market. Additionally, the study finds that changes in market efficiency are consistent across different company sizes, suggesting that market or company size does not significantly influence efficiency.
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