Is South Korea's Stock Market Efficient?

Narayan, Paresh; Smyth, Russell

doi:10.1080/1350485042000236566

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Author

Narayan, Paresh

Smyth, Russell

Year published

2004

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Abstract

This letter applies the Zivot and Andrews (Journal of Business and Economic Statistics, 10, 251-70, 1992) one break and the Lumsdaine and Papell (Review of Economic and Statistics, 79, 212-8, 1997) two break unit root tests to examine the random walk hypothesis for stock prices in South Korea. The results provide strong evidence that stock prices in South Korea are characterized by a unit root, which is consistent with the efficient market hypothesis.This letter applies the Zivot and Andrews (Journal of Business and Economic Statistics, 10, 251-70, 1992) one break and the Lumsdaine and Papell (Review of Economic and Statistics, 79, 212-8, 1997) two break unit root tests to examine the random walk hypothesis for stock prices in South Korea. The results provide strong evidence that stock prices in South Korea are characterized by a unit root, which is consistent with the efficient market hypothesis.
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Journal Title

Applied Economics Letters

Volume