A Study on Weak-form Efficiency of KOSPI Stock Market after the Recent Expansion of Daily Price Limits

• 발행기관: 한국무역연구원
• 저자명: Il-Hyun Yoon Yong-Min Kim
• 간행물 정보: 『무역연구』제14권 제3호, 73~88쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2018.06.19

영문 초록

This paper examines the weak-form efficiency of the Korean stock exchange market under the substantially relaxed daily price movement limit system which has been in operation in this market since June 2015. Within the framework of a random walk model, we have carried out a detailed empirical examination of the daily data of the overall market index, as well as, 30 stocks with different market capitalizations over the sample period from August 2015 to August 2017. We have found that while the autocorrelation and unit root tests appear to confirm the lack of autocorrelation and existence of unit roots in 23 and 25 stocks, respectively, the GARCH-M(1,1) test results do not confirm the assumption of homoscedasticity required by a random walk model specification in all cases, and in this respect, the market has remained inefficient. Overall, the market index and 16 stocks out of 30 appear to pass the conditions of a weak-form market efficiency set out by a random walk specification, while the remaining 14 stocks appear to have behaved differently, as it is indicated by their non-constant price variances during the sample period.

목차

Ⅰ. Introduction

Ⅱ. Data Analysis and Modelling Framework

Ⅲ. Empirical Results

Ⅳ. Implications and Conclusion

키워드

Autocorrelation Daily Price Limit Efficient Market Hypothesis GARCH Model Random Walk