Close menu

SURE

Sunderland Repository records the research produced by the University of Sunderland including practice-based research and theses.

Stock Market Efficiency and Price Limits: Evidence from Korea’s Recent Expansion of Price Limits.

Seddighi, Hamid and Yoon, II-Hyun (2018) Stock Market Efficiency and Price Limits: Evidence from Korea’s Recent Expansion of Price Limits. Asian Journal of Economics and Empirical Research, 5 (2). pp. 191-200. ISSN 2409-2622

Item Type: Article

Abstract

This paper examines the efficiency of the Korean stock exchange market with reference to the recent relaxation of price limits effective on June 15, 2015 for the period from January 2012 to November 2017 and compares the efficiency between sub-periods before and after the police change which saw expansion of daily price limits from 15% to 30%. The daily returns of the market index and 60 stocks selected from different industrial sectors are used to test the random walk hypothesis under two different price limits regime using the Lo-MacKinlay variance ratio tests and multiple variance ratio tests. The empirical evidence found that the market index showed weak form market efficiency along the lines of random walk hypothesis while individual sample stocks behaved differently according to the different price limits periods. The number of stocks following the random walk process increased under the 30% price limits regime in comparison with that under the 15% regime, indicating Korea’s stock market appears to become more efficient as daily price limits are expanded although the findings are rather suggestive than definitive.

[img] PDF (Journal Article)
Sure Working paper1- Efficiency of Korea stock market. September 18..docx - Published Version

Download (100kB)
[img]
Preview
PDF
1531-5423-1-PB.pdf - Published Version

Download (887kB) | Preview

More Information

Related URLs:
Depositing User: Hamid Seddighi

Identifiers

Item ID: 9973
Identification Number: https://doi.org/10.20448/journal.501.2018.52.191.200
ISSN: 2409-2622
URI: http://sure.sunderland.ac.uk/id/eprint/9973
Official URL: http://www.asianonlinejournals.com/index.php/AJEER...

Users with ORCIDS

ORCID for Hamid Seddighi: ORCID iD orcid.org/0000-0003-3679-0545

Catalogue record

Date Deposited: 23 Nov 2018 09:16
Last Modified: 18 Dec 2019 16:07

Contributors

Author: Hamid Seddighi ORCID iD
Author: II-Hyun Yoon
Author: Hamid Seddighi
["contributor_type_typename_" not defined]: II-Hyun Yoon

University Divisions

Faculty of Business, Law and Tourism
Faculty of Business, Law and Tourism > Sunderland Business School

Subjects

Business and Management > Accounting and Finance
Business and Management > Business and Management

Actions (login required)

View Item (Repository Staff Only) View Item (Repository Staff Only)