Korean stock prices under price limits: variance ratio tests of random walks

Hyun-Jung Ryoo and Graham Smith

Applied Financial Economics, 2002, vol. 12, issue 8, 545-553

Abstract: This paper provides tests of the random walk hypothesis for the Korean stock market over the period from March 1988 to December 1998. During this time there are five regimes of daily price limits. We use a sample of 55 actively traded stocks selected to cover a wide range of industries and with a marked number of limit moves and test the random walk hypothesis under each price limit regime. The system of price limits prevents equity prices from following a random walk process and so results in the market being inefficient. As the daily price limits are increased, the proportion of stock prices following a random walk increases. That is, the stock market as a whole approaches a random walk as price limits are relaxed.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100010015789 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:12:y:2002:i:8:p:545-553

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100010015789

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().