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Is South Korea's stock market efficient?

  • Paresh Kumar Narayan
  • Russell Smyth

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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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 11 ()
Pages: 707-710

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Handle: RePEc:taf:apeclt:v:11:y:2004:i:11:p:707-710
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  1. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  2. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  3. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  4. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, March.
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