An Empirical Investigation of the Random-Walk Behavior of Various Stock Indices in the Stock Exchange of Thailand

Abstract

This study examines the random-walk behavior of the daily returns of 15 stock indices in the Stock Exchange of Thailand over the period from May 2020 to December 2025, including several indices that have not been analyzed in this context. The results from both parametric and non-parametric tests indicate that random-walk behavior, or weak-form efficiency, is related to the size of stocks in an index, and not to the index’s investment theme. Specifically, large-cap indices exhibit random-walk behavior, whereas small-cap indices do not and instead display positively autocorrelated returns. Compared with previous studies on the Thai stock market, the evidence shows that large-cap stocks are weak-form efficient both before and after the Covid-19 crisis, while small-cap stocks remain weak-form inefficient in both periods. The inefficiency of small-cap stocks may stem from an insufficiently effective price discovery process for these stocks, which has important implications for policy design aimed at improving price discovery process in the small-cap groups.