The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature

40 Pages Posted: 24 Jan 2011

See all articles by Kian-Ping Lim

Kian-Ping Lim

Universiti Malaya

Robert D. Brooks

Monash University; Financial Research Network (FIRN)

Date Written: January 12, 2011


This paper provides a systematic review of the weak-form market efficiency literature that examines return predictability from past price changes, with an exclusive focus on the stock markets. Our survey shows that the bulk of the empirical studies examine whether the stock market under study is or is not weak-form efficient in the absolute sense, assuming that the level of market efficiency remains unchanged throughout the estimation period. However, the possibility of time-varying weak-form market efficiency has received increasing attention in recent years. We categorize these emerging studies based on the research framework adopted, namely non-overlapping sub-period analysis, time-varying parameter model and rolling estimation window. An encouraging development is that the documented empirical evidence of evolving stock return predictability can be rationalized within the framework of the adaptive markets hypothesis.

Keywords: Adaptive markets hypothesis (AMH), Efficient markets hypothesis (EMH), Evolving return predictability, Stock markets, Weak-form EMH

Suggested Citation

Lim, Kian-Ping and Brooks, Robert Darren, The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (January 12, 2011). Journal of Economic Surveys, Vol. 25, Issue 1, pp. 69-108, 2011, Available at SSRN: or

Kian-Ping Lim (Contact Author)

Universiti Malaya ( email )

Department of Economics
Faculty of Economics and Administration
Kuala Lumpur, 50603

Robert Darren Brooks

Monash University ( email )

Wellington Road
Clayton, Victoria 3168

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

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