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Abstract
Efficient Market Hypothesis, which asserts that returns of a stock market are unpredictable from previous price changes, is of the interest to many researchers and practitioners in the financial studies. There has been extensive research in this area since its inception in 1970, in testing weak form efficiency by several parametric and non-parametric tests. These studies conducted in individual stock markets or small group of markets. However, these studies yield different results of time varying and method specific. In this context, this study aims at examining the weak form efficiency of selected stock markets in the world by employing both parametric and nonparametric tests by considering the daily returns of the stock indices of twenty four selected countries comprises of nine developed, ten emerging and five frontier markets during the period 2000 to 2018. The results of this study observes that the most of the stock markets exhibit weak form inefficiency except few developed markets.