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

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).

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Year of publication:	2009
Authors:	Hasanov, Mubariz
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 2, p. 163-167
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005467962