Econometric methods - What to use?

Finance
1

Hi all,

I’m a student doing my dissertation in Finance.
Can you guys suggest what econometric methods I should use to test the weak-form market by time-series data?
My topic in full: Testing weak-form market efficiency in emerging markets
Methods i have used: unit root test, autocorrelation test, GARCH models? (still considering this)

Thank you for your support.
Really appreciate it!!!

2

Hey mate, welcome.

I am not going to do your homework, but tell me, what are your findings so far?

How would GARCH fit into this given that it’s looking at a characteristic of volatility rather than of returns?

Sounds like you are on the right path.
Have you looked at ACF and PACF?

3

What models have people used in your literature? And why?