TY  - EJOU
AU  - 
T1  - Testing the Random Walks in Korea Stock Exchange
T2  - The Economics and Finance Letters

PY  - 2014
VL  - 1
IS  - 1
SN  - 2312-430X

AB  - The aim of this paper is to investigate random walk in Korea stock exchange.  The results of unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. The null hypothesis of random walk is rejected for the two indexes and therefore the markets are no weak-form efficiency.
KW  - Random walk  hypothesis
KW  -   Unit root test
KW  - Autocorrelation testr
KW  - Variance ratio Test
KW  - Korea stock exchange.
DO  - 10.18488/journal.29/2014.1.1/29.1.1.8