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- Title
Are Korean Industry-Sorted Portfolios Mean Reverting?
- Authors
Seongman Moon
- Abstract
This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis period. Our empirical findings are consistent with the fact that Korea accelerated its integration with international financial market by implementing extensive capital liberalization since the crisis.
- Subjects
SOUTH Korea; FINANCIAL markets; CURRENCY crises; FINANCIAL liberalization; STOCKS (Finance); MARKETS; SOUTH Korea. T'ukhoch'ong
- Publication
East Asian Economic Review (EAER), 2016, Vol 20, Issue 2, p169
- ISSN
2508-1640
- Publication type
Article
- DOI
10.11644/KIEP.EAER.2016.20.2.308