Abstract
This letter applies the Zivot and Andrews (Journal of Business and Economic Statistics, 10, 251–70, 1992) one break and the Lumsdaine and Papell (Review of Economic and Statistics, 79, 212–8, 1997) two break unit root tests to examine the random walk hypothesis for stock prices in South Korea. The results provide strong evidence that stock prices in South Korea are characterized by a unit root, which is consistent with the efficient market hypothesis.
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