This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore). The index prices are non-stationary so we used cointegration methodologies in order to explore interdependencies. Johansen methodologies reject the hypothesis of long-run relationships among all stock markets, while the Gregory-Hansen test rejects the hypothesis of no cointegration with structural breaks. Our results suggest that in the longterm the benefits for investing in India are limited. We further estimated the time-varying conditional correlation relationships among these markets We find that correlations rise dramatically during periods of crisis, while they return to their initial levels after those periods.

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In this paper we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak form efficiency in the markets this study uses, autocorrelation analysis, runs test, and variance ratio test. We find that stock markets of the Central and Eastern Europe do not follow a random walk process. This is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more advanced Generalized Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model. Results indicate that day-of-the-week effect is not evident in most markets except for some. Overall results indicate that some of these markets are not weak form efficient and an informed investor can make abnormal profits by studying the past prices of the assets in these markets.Keywords: Emerging stock markets, day-of-the-week effect , market efficiency, variance ratio test, GARCH-M.JEL Classification: G12, G14, G22.2

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