The Economics and Finance Letters

Published by: Conscientia Beam
Online ISSN: 2312-430X
Print ISSN: 2312-6310
Quick Submission    Login/Submit/Track

No. 1

Testing the Random Walks in Korea Stock Exchange

Pages: 1-8
Find References

Finding References

Testing the Random Walks in Korea Stock Exchange

Search :
Google Scholor
Search :
Microsoft Academic Search

DOI: 10.18488/journal.29/2014.1.1/

Latifa Fatnassi Chaibi

Export to    BibTeX   |   EndNote   |   RIS

  1. Ayadi, O.F. and C.S. Pyun, 1994. An application of variance ratio test to the Korean securities market. Journal of Banking and Finance, 18(4): 643-658.
  2. Charles, A. and O. Darne, 2013. The random walk hypothesis for Chinese stock market: Evidence from variance ratio test. Economic Systemsw, 33(2): 1-16.
  3. Dickey, D. and W. Fuller, 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a): 427-431.
  4. Fahad, A.F., 2013. Testing for random walk behaviour in CIVETS exchange rates. Applied Economics Letters, 21(1): 1-25.
  5. Fama, E., 1970. Efficient capital market: A review of theory and empirical work. Journal of Finance, 25(2): 383-417.
  6. Fama, E. and K.R. French, 1988. Permanent and temporary components of stock prices. Journal of Political Economy, 96(2): 246-273.
  7. Hoque, H.B., J.H. Kim and C.S. Pyun, 2007. A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets. International Review of Economics and Finance, 16(44): 1-15.
  8. Jain, K. and P. Jain, 2013. Empirical study of the weak form of EMH on Indian stock market. International Journal of Management and Social Sciences Research, 2(11): 53-59.
  9. Kim, J.H., 2004. Testing for the martingale hypothesis in Asian stock prices: Evidence from a new joint variance ratio test. Working Papers, University of Econometrics and Business, 20(1): 1-27.
  10. Lim, P.K., M. Habibullah, S.  and M.J. Hinich, 2013. The weak-form efficiency of Chinese stock markets: Thin trading, Nonlinearity and episodic serial dependencies. Journal of Emerging Market Finance, 8(1): 133-163.
  11. Lo, A. and A.C. Mackinlay, 1988. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies, 1(1): 41-66.
  12. Lock, D.B., 2008. The Taiwan stock market does follow a random walk. Economics Bulletin, 7(3): 1-8.
  13. Nawaz, B., A. Sarfraz, H. Hussain and M. Altaf, 2013. An empirical investigation on the existence of weak form efficiency: The case of Karachi stock exchange. Management Science Letters, 3(1): 65-72.
  14. Omar, M.M., H. Hussain, G.A. Bhatti and M. Altaf, 2013. Testing of random walks in Karachi stock exchange. Finance Management, 54: 12293-12299.
  15. Philips, C.B. and P. Perron, 1998. Testing for a unit root in time series regression. Biometrika, 75(2): 335-346.
  16. Segot, T.L. and B.M. Lucey, 2008. Efficiency in emerging markets: Evidence from the MENA region. Journal of International Financial Markets Institutions and Money, 18(1): 94-105.
  17. Sing, S. and K. Sapna, 2013. Weak form efficiency of selected Asian stock exchange. International Journal of 360┬░Management Review: 1-17.
  18. Summers, L.H., 1986. Does the stock market rationally reflect fundamental values? Journal of Finance, 41(3): 591-602.
  19. Vigg Kushwah, S., P. Negi and A. Sharma, 2013. The random character of stock market prices: A study of Indian stock exchange. Integral Review A Journal of Management6(6): 24-33.
  20. Worthington, A.C. and H. Higgs, 2006. Weak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behavior. Accounting Research Journal, 19(1): 54-63.
No any video found for this article.
Latifa Fatnassi Chaibi (2014). Testing the Random Walks in Korea Stock Exchange. The Economics and Finance Letters, 1(1): 1-8. DOI: 10.18488/journal.29/2014.1.1/
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.

Contribution/ Originality