Foreign currency crisis and semi-strong efficiency of the Korean stock market
Jeong, Jinho
Cite this item:
Jeong, J. (2004, July 16). Foreign currency crisis and semi-strong efficiency of the Korean stock market. University of Otago Department of Finance Seminar Series.
Permanent link to OUR Archive version:
http://hdl.handle.net/10523/1534
Abstract:
This paper investigated the efficiency of the Korean capital market with respect to fiscal and monetary policies. For this purpose, the paper applied FIML technique to a set of monthly data over the period 1982.01 to 2000.12. The model was particularly designed to take into the problems of generated regressors and simultaneous equation bias in the test of market efficiency. The overall results indicate that the Korean stock market is efficient with respect to monetary policy. However, the result with fiscal policy is inconclusive. The study also found that market participants reacted to the macro-economic shocks more sensitively after the recent foreign currency crisis in Korea. However, there is no concrete evidence that the stock market opening contributed to the market efficiency.
Date:
2004-07-16
Pages:
17
Keywords:
Korean capital market; fiscal and monetary policies; macro-economic shocks; market efficiency