In emerging markets Wong and Kwong (1984) used the runs test to examine the weak form efficiency
in the Hong Kong stock market and concluded that it is inefficient.
Weak form efficiency exists when security prices reflect all the information contained in the history of past prices and returns.
The studies such as Sharma and Kennedy (1977), Barua (1980, 1987), Sharma (1983), Ramachandran (1985), Gupta (1985), Srinivasan (1988), Vaidyanathan and Gali (1994) and Prusty (2007) supports the weak form efficiency of Indian capital market.
Runs (Bradley, 1968) and LOMAC variance ratio tests (Lo and MacKinlay, 1988) are used to test the weak form efficiency and random walk hypothesis.
The results of nonlinear unit root tests indicated that only Bulgarian, Czech, Hungarian and Slovakian price series contain unit root, consistent with weak form efficiency
The earlier studies on testing weak form efficiency started in the developed market.
Singh, Kapoor and Suri (2010) tested Indian stock markets (sensex and nifty) for weak form efficiency for the period 1st April 2005 to 31st March 2007.
A number of parametric and non-parametric tests have been applied on first difference of Sensex and Nifty (dSensex and dNifty) to test weak form efficiency of Indian stock market.
Keasey, 1996, "A Note on the Weak form Efficiency
of Capital Markets: The Application of Simple Technical Trading Rules to UK Stock Prices--1935 to 1994," Journal of Banking and Finance, 20, 1121-32.
Poshakwale (1996) found that the prices on BSE did not follow random walk by studying weak form efficiency and the day of the week effect on the Bombay Stock Exchange and the distribution was not normally distributed.
BSE and NSE and tested the weak form efficiency and the evidences suggested that the series do not follow random walk model and there is existence of autocorrelation in both markets, based on which the weak form efficiency hypothesis is rejected.
Weak Form Efficiency in Indian Stock Markets, International Business and Economics Research Journal, 6(3), 57-64.