

Title |
Are Korean industry-sorted portfolios mean reverting?
Similar Titles
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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.