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

Mübariz Hasanov

Applied Economics Letters, 2009, vol. 16, issue 2, 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 Kapetanios 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).

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (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:apeclt:v:16:y:2009:i:2:p:163-167

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850601018270

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

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