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Are Korean industry-sorted portfolios mean reverting?
| Title |
Are Korean industry-sorted portfolios mean reverting?
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|---|---|
| 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 | |
| Subject | Economy < Financial Policy Economy < Economic System |
| Holding | KIEP |
| License |  |
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.
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