  In this study, we utilize the Kalman-Filter analysis to assess market
efficiency in major stock markets. The Kalman-Filter operates in two stages,
assuming that the data contains a consistent trendline representing the true
market value prior to being affected by noise. Unlike traditional methods, it
can forecast stock price movements effectively. Our findings reveal significant
portfolio returns in emerging markets such as Korea, Vietnam, and Malaysia, as
well as positive returns in developed markets like the UK, Europe, Japan, and
Hong Kong. This suggests that the Kalman-Filter-based price reversal indicator
yields promising results across various market types.
