The purpose of our study is trying to investigate the market efficiency in Asian emerging markets. The Asian emerging stock markets developed dramatically in the last decade and more and more individual investors joined the markets. It is rational to expect the market price behavior could be inconsistent with developed markets where the institutional investors are the majority. Two market anomalies of calendar effect and momentum effect are employed as the evidence to this study. It aims to provide useful information for potential Asian investors. Using T-test to examine the Calendar Effect and using Moving Average price index (MA) technical analyze to investigate the Momentum effect. However we did not find market anomaly, namely January Effect and Day of the Week Effect. But there were indications of Momentum effect.
