Is South Korea's stock market efficient? Evidence from a nonlinear unit root test
APPLIED ECONOMICS LETTERS, cilt.16, sa.2, ss.163-167, 2009 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 16 Sayı: 2
- Basım Tarihi: 2009
- Doi Numarası: 10.1080/13504850601018270
- Dergi Adı: APPLIED ECONOMICS LETTERS
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.163-167
- Hacettepe Üniversitesi Adresli: Hayır
Özet
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).