Is South Korea’s stock market efficient?

Narayan, Paresh Kumar and Smyth, Russell 2004, Is South Korea’s stock market efficient?, Applied economics letters, vol. 11, no. 11, pp. 707-710, doi: 10.1080/1350485042000236566.

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Title Is South Korea’s stock market efficient?
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar
Smyth, Russell
Journal name Applied economics letters
Volume number 11
Issue number 11
Start page 707
End page 710
Total pages 4
Publisher Routledge
Place of publication London, England
Publication date 2004-09
ISSN 1350-4851
Summary 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.
Language eng
DOI 10.1080/1350485042000236566
Field of Research 150203 Financial Institutions (incl Banking)
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2004, Taylor and Francis
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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