Is South Korea's stock market efficient? A note
In an attempt to examine efficiency of South Korea's stock market (SKM), Narayan and Smyth (2004) used a battery of unit root tests to investigate the random walk hypothesis and on the basis of the reported evidence for unit root, they concluded that the SKM is efficient. The authors have unfortunately confused random walk with unit root hypothesis. The present note stresses the fact that it is insufficient to test for stationarity when examining efficiency, casting serious doubt on Narayan and Smyth's conclusions. Furthermore, we provide comments on the shortfalls of the unit roots tests employed and not accounted for in Narayan and Smyth's study which may lead to spurious results.
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Volume (Year): 14 (2007)
Issue (Month): 1 ()
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- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
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