Efficient Market Testing of the Thai Stock Market During the COVID-19 Recession

Purpose: Recent asset market bubbles and crashes, especially during the COVID-19 recession, have challenged the Efficient Market Hypothesis (EMH). This study examines the Thai stock market during this period to test the validity of the EMH in an emerging market context. Design/methodology/approach: This study employs non-parametric tests to analyze the efficiency of the Thai stock market during the COVID-19 recession. It utilizes the augmented Dickey-Fuller (ADF) test, autocorrelation function (ACF) test, runs test, and variance ratio test to evaluate market behavior. Findings: The behavior of the Thai stock market (SET) failed to meet the criteria for weak and semi-strong form efficiency. Research limitations/implications: The findings indicate that market movements were potentially predictable, sug-gesting that some SET investors might have earned abnormal returns by having advance knowledge of shocks not yet reflected in stock prices. Originality/value: The findings suggest that both the Efficient Market Hypothesis and behavioral approaches are essential considerations for financial researchers and policymakers.