Testing weak-form efficiency of commodities open-ended funds in Thailand
Keywords:
Weak-form Efficient Market Hypothesis , Gold Mutual Funds, Oil Mutual Funds, Return IndependenceAbstract
This research tests the weak-form Efficient Market Hypothesis (EMH) of 25 commodities mutual funds managed by investment companies in Thailand. The sample consists of 17 gold mutual funds and 8 oil mutual funds from May 2019 to January 2024. The results show that 22 out of 25 funds under study are found to have daily returns or daily changes in net asset values that are serially independent, which is consistent with the weak-form market efficiency. These results therefore help build body of knowledge of market efficiency from such risky assets as mutual funds. The results also have practical implication on any investment strategies that use historical changes in mutual funds’ net asset values (NAVs) to predict the change in the funds’ net asset values in the future. The results imply that such strategies are unlikely to make abnormal returns.
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