지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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초록· 키워드
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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.
목차
ABSTRACT
Ⅰ. Introduction
Ⅱ. Literature Review
Ⅲ. Data and Methodology
Ⅳ. Empirical Results
Ⅴ. Conclusion
References
참고문헌 (41)
참고문헌 신청
Abeysekera, Sarath P. / 2001 / Efficient Markets Hypothesis and the Emerging Capital market in Sri Lanka: Evidence from the Colombo Stock Echange – A Note / Journal of Business Finance and Accounting 28(1):249~261
Abraham, Abraham, Fazal J. Seyyed / 2002 / Testing the Random Walk Behaviour and Efficiency of the Gulf Stock Markets / The Financial Review 37:469~480
Alam, M / 1999 / Application of Variance‐Ratio Test to Five Asian Stock Markets / Review of Pacific Basin Financial Markets and Policie 2(3):301~315
Al‐Shiab M / 2006 / The predictability of Amman Stock Exchange using the Univariate Autoregressive Integrated Moving Average (ARIMA) model / Journal of Economic and Administrative Sciences 22(2):17~35
Andrew W. Lo / A Non‐Random Walk Down Wall Street / Princeton University Press :448
Abraham, Abraham, Fazal J. Seyyed / 2002 / Testing the Random Walk Behaviour and Efficiency of the Gulf Stock Markets / The Financial Review 37:469~480
Alam, M / 1999 / Application of Variance‐Ratio Test to Five Asian Stock Markets / Review of Pacific Basin Financial Markets and Policie 2(3):301~315
Al‐Shiab M / 2006 / The predictability of Amman Stock Exchange using the Univariate Autoregressive Integrated Moving Average (ARIMA) model / Journal of Economic and Administrative Sciences 22(2):17~35
Andrew W. Lo / A Non‐Random Walk Down Wall Street / Princeton University Press :448
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UCI(KEPA) : I410-ECN-0101-2013-325-001429997