Efficient Market Testing of the Korean Stock Market during the Global Financial Crisis

Authors

  • Yoonmin Kim Research Fellow, Economic Policy Department Samsung Economic Research Institute, Seoul, Korea

Abstract

Recent asset market bubbles and bursts have generated interest in the efficiency of stock market behavior. Efficient market hypothesis (EMH) has been challenged by the global financial crisis and literature on behavioral finance. A period was chosen coinciding with the global financial crisis when the standard efficient market hypothesis (EMH) was less likely to hold. The Korean stock market’s (KOSPI) behavior passed standard efficient market tests for random walk, and was efficient. KOSPI investors should not experience abnormal returns when stock prices reflect no news shocks. Stock prices “today” reflect today’s news and are independent of price changes yesterday.

Keywords Korean stock market, Efficient Market Testing, global financial crisis, stock prices 

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How to Cite

Kim, Y. (2014). Efficient Market Testing of the Korean Stock Market during the Global Financial Crisis. Thammasat Review, 17(2), 194–212. Retrieved from https://sc01.tci-thaijo.org/index.php/tureview/article/view/32679

Issue

Vol. 17 No. 2 (2014): July - December

Section

Articles

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