Tests of Weak-form Efficient Market Hypothesis in Korean Stock Market

Title
Tests of Weak-form Efficient Market Hypothesis in Korean Stock Market
Other Titles
Tests of Weak-form Efficient Market Hypothesis in Korean Stock Market
Author(s)
박정윤Bazarov Ravshan[Bazarov Ravshan]
Keywords
Business as Mission; BAM; managerial perspective; Business as Mission; BAM; managerial perspective
Issue Date
201112
Publisher
한국로고스경영학회
Citation
로고스경영연구, v.9, no.3, pp.13 - 26
Abstract
This paper examines weak form market efficiency hypothesis of Korean stock market. Sample data includes daily stock market prices from January 2005 to December 2010. The amount of sample data totaled to almost 1500 daily stock price indices. ARIMA application was used to model the whole five‐year time series. Forecasting based on past price data was unsuccessful as the error term exceeded predictive term. According to “Random walk” model of Fama, market is considered to be weak‐form efficient if forecasting is not possible. Results suggested that Korean stock market is efficient in “Weak‐form” level and investors’ attempt to make an excess return is an equivalent of “buy and hold” technique.
URI
http://hdl.handle.net/YU.REPOSITORY/24015
ISSN
1598-8813
Appears in Collections:
경영대학 > 경영학과 > Articles
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