Are Korean Industry-Sorted Portfolios Mean Reverting?

Autor:	Seongman Moon
Jazyk:	angličtina
Rok vydání:	2016
Předmět:	Mean Reverting Panel Variance Ratio Tests Efficient Market Hypothesis Industry- Sorted Stock Price Indexes Economics as a science HB71-74
Zdroj:	East Asian Economic Review, Vol 20, Iss 2, Pp 169-190 (2016)
Druh dokumentu:	article
ISSN:	2508-1640 2508-1667
DOI:	10.11644/KIEP.EAER.2016.20.2.308
Popis:	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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/88b2d79ed9964139b88d385435945c3f Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF