Are Korean Industry-Sorted Portfolios Mean Reverting?
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. Ou...
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| Fformat: | Erthygl |
| Iaith: | English |
| Cyhoeddwyd: |
Korea Institute for International Economic Policy
2016-06-01
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| Cyfres: | East Asian Economic Review |
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| Mynediad Ar-lein: | http://dx.doi.org/10.11644/KIEP.EAER.2016.20.2.308 |