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Are Korean Industry-Sorted Portfolios Mean Reverting?

문성만
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2016.06|East Asian Economic Review|제20권 제2호|pp. 169-190|DOI http://dx.doi.org/10.11644/KIEP.EAER.2016.20.2.308

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참고문헌

키워드

Efficient Market HypothesisMean RevertingPanel Variance Ratio TestsIndustry- Sorted Stock Price Indexes
주제분류경제학

초록

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.

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.

참고문헌 (27)

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관련 논문AI추천

한국 주식시장의 평균회귀/이탈 현상 재고찰배진호한국경제통상학회 · 경제연구2006 · 제24권 제2호Stock Return Predictability and Global Stock Market Integration신정순, 최승두산업개발연구소 · 산업혁신연구2011 · 제27권 제1호산업별 주가지수의 장단기 글로벌 통합관계장병기한국경제통상학회 · 경제연구2007 · 제25권 제3호ASYMMETRY AND LONG MEMORY FEATURES IN VOLATILITY: EVIDENCE FROM KOREAN STOCK MARKET강상훈, 윤성민한국경제학회 · The Korean Economic Review2008 · 제24권 제2호韓國 株式市場에서 巨視要因은 有意한가?南暢祐, 朴埈用, 李雨憲한국경제학회 · 경제학연구2002 · 제50권 제4호Liquidity Risk and Asset Returns:The Case of the Korean Stock Market최혁, 양철원한국재무관리학회 · 재무관리연구2009 · 제26권 제4호

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