EconPapers    
Economics at your fingertips  
 

Stock Market Efficiency and Price Limits: Evidence from Korea’s Recent Expansion of Price Limits

H. R. Seddighi and Il-Hyun Yoon
Additional contact information
H. R. Seddighi: Business School, University of Sunderland, St. Peter’s Campus, St. Peters Way, Sunderland, Tyne and Wear SR6 0DD United Kingdom
Il-Hyun Yoon: Division of Business Administration, Dongseo University, 47 Jurye-ro, Sasang-gu, Busan 47011 Korea, Republic of

Asian Journal of Economics and Empirical Research, 2018, vol. 5, issue 2, 191-200

Abstract: This paper examines the efficiency of the Korean stock exchange market with reference to the recent relaxation of price limits effective on June 15, 2015 for the period from January 2012 to November 2017 and compares the efficiency between sub-periods before and after the police change which saw expansion of daily price limits from 15% to 30%. The daily returns of the market index and 60 stocks selected from different industrial sectors are used to test the random walk hypothesis under two different price limits regime using the Lo-MacKinlay variance ratio tests and multiple variance ratio tests. The empirical evidence found that the market index showed weak form market efficiency along the lines of random walk hypothesis while individual sample stocks behaved differently according to the different price limits periods. The number of stocks following the random walk process increased under the 30% price limits regime in comparison with that under the 15% regime, indicating Korea’s stock market appears to become more efficient as daily price limits are expanded although the findings are rather suggestive than definitive.

Keywords: Daily price limits; Efficient market hypothesis; Korean stock market; KOSPI; Multiple variance ratio tests; Random walk process (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.asianonlinejournals.com/index.php/AJEER/article/view/1531 (application/pdf)
http://www.asianonlinejournals.com/index.php/AJEER/article/view/1531 (text/html)

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:aoj:ajeaer:2018:p:191-200

DOI: 10.20448/journal.501.2018.52.191.200

Access Statistics for this article

Asian Journal of Economics and Empirical Research is currently edited by Sara Lim

More articles in Asian Journal of Economics and Empirical Research from Asian Online Journal Publishing Group 2885 Sanford Ave SW #43110 Grandville, MI 49418, USA.
Bibliographic data for series maintained by Sara Lim ().

 
Page updated 2019-01-26
Handle: RePEc:aoj:ajeaer:2018:p:191-200