East Asian Economic Review

Korea Institute for International Economic Policy (대외경제정책연구원)
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Are Korean Industry-Sorted Portfolios Mean Reverting?

  • Received : 2016.04.28
  • Accepted : 2016.06.20
  • Published : 2016.06.30
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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.

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References

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