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Are Korean Industry-Sorted Portfolios Mean Reverting?

East Asian economic review, 2016-06, Vol.20 (2), p.169-190 [Peer Reviewed Journal]

COPYRIGHT(C) KYOBO BOOK CENTRE ALL RIGHTS RESERVED ;ISSN: 2508-1640 ;EISSN: 2508-1667

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  • Title:
    Are Korean Industry-Sorted Portfolios Mean Reverting?
  • Author: Moon, Seongman
  • Subjects: Efficient Market Hypothesis ; Industry-sorted Stock Price Indexes ; Mean Reverting ; Panel Variance Ratio Tests
  • Is Part Of: East Asian economic review, 2016-06, Vol.20 (2), p.169-190
  • Description: 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.
  • Publisher: 대외경제정책연구원
  • Language: Korean
  • Identifier: ISSN: 2508-1640
    EISSN: 2508-1667
  • Source: ROAD: Directory of Open Access Scholarly Resources
    DOAJ Directory of Open Access Journals
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