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  • Is South Korea's Stock Market Efficient?

    Author(s)
    Narayan, Paresh
    Smyth, Russell
    Griffith University Author(s)
    Narayan, Paresh
    Year published
    2004
    Metadata
    Show full item record
    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
    11
    DOI
    https://doi.org/10.1080/1350485042000236566
    Subject
    Public Health and Health Services
    Applied Economics
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/5346
    Collection
    • Journal articles

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