Are Korean Industry-Sorted Portfolios Mean Reverting?

Seongman Moon

East Asian Economic Review, 2016, vol. 20, issue 2, 169-190

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.

Keywords: Mean Reverting; Panel Variance Ratio Tests; Efficient Market Hypothesis; Industry-sorted Stock Price Indexes (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0012

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