Testing the Random Walks in Korea Stock Exchange

Authors

  • Latifa Fatnassi Chaibi Faculty of Economics and Management of Tunis

DOI:

https://doi.org/10.18488/journal.29/2014.1.1/29.1.1.8

Keywords:

Random walk hypothesis, Unit root test, Autocorrelation testr, Variance ratio Test, Korea stock exchange

Abstract

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.

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Published

2014-01-15

Issue

Vol. 1 No. 1 (2014)

Section

Articles

How to Cite

Testing the Random Walks in Korea Stock Exchange. (2014). The Economics and Finance Letters, 1(1), 1-8. https://doi.org/10.18488/journal.29/2014.1.1/29.1.1.8