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Are Korean industry-sorted portfolios mean reverting?

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Title Are Korean industry-sorted portfolios mean reverting?
Similar Titles
Material Type Articles
Author(English)

Moon, Seongman

Publisher

[Sejong, South Korea] : Korea Institute for International Economic Policy

Date 2016
Journal Title; Vol./Issue East Asian Economic Review:vol. 20(no. 2)
Pages 22
Subject Country South Korea(Asia and Pacific)
Language English
File Type Documents
Original Format pdf
Subject Economy < Financial Policy
Economy < Economic System
Holding KIEP
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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.