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Foreign currency crisis and semi-strong efficiency of the Korean stock market

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  • Foreign currency crisis and semi-strong efficiency of the Korean stock market
  • Jeong, Jinho
  • Kyungnam University


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Title Foreign currency crisis and semi-strong efficiency of the Korean stock market
Similar Titles
Material Type Reports
Author(English)

Jeong, Jinho

Publisher

[Changwon]:Kyungnam University

Date 2004-06
Pages 17
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic System
Holding Kyungnam University

Abstract

This paper investigated the efficiency of the Korean capital market with respect to fiscal and monetary policies. For this purpose, the paper applied FIML technique to a set of monthly data over the period 1982.01 to 2000.12. The model was particularly designed to take into the problems of generated regressors and simultaneous equation bias in the test of market efficiency. The overall results indicate that the Korean stock market is efficient with respect to monetary policy. However, the result with fiscal policy is inconclusive. The study also found that market participants reacted to the macro-economic shocks more sensitively after the recent foreign currency crisis in Korea. However, there is no concrete evidence that the stock market opening contributed to the market efficiency.