Is South Korea's stock market efficient? Evidence from a nonlinear unit root test


Hasanov M.

APPLIED ECONOMICS LETTERS, vol.16, no.2, pp.163-167, 2009 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 16 Issue: 2
  • Publication Date: 2009
  • Doi Number: 10.1080/13504850601018270
  • Title of Journal : APPLIED ECONOMICS LETTERS
  • Page Numbers: pp.163-167

Abstract

In this article we re-examine efficiency of the South Korea's stock market, extending recent work of Narayan and Smyth (2004). For this purpose we apply the nonlinear unit root test procedure recently developed by Kapctanios et al. (2003). The nonlinear unit root test rejects the null hypothesis of unit root, suggesting that the South Korea's stock market is not weak form efficient, contrary to the findings of Narayan and Smyth (2004).