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Testing the Random Walks in Korea Stock Exchange

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  • Latifa Fatnassi Chaibi

Abstract

The aim of this paper is to investigate random walk in Korea stock exchange. The results of unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. The null hypothesis of random walk is rejected for the two indexes and therefore the markets are no weak-form efficiency.

Suggested Citation

  • Latifa Fatnassi Chaibi, 2014. "Testing the Random Walks in Korea Stock Exchange," The Economics and Finance Letters, Conscientia Beam, vol. 1(1), pages 1-8.
    • Handle: RePEc:pkp:teafle:v:1:y:2014:i:1:p:1-8:id:1581
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    File URL: https://archive.conscientiabeam.com/index.php/29/article/view/1581/2196
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