Abstract
ABSTRACT Using the data set comprised of good and bad news, we have examined behavioral and efficient market hypotheses on the Korean foreign exchange market responses to the news during the global financial crisis. The results of this study are as the followings: First, the Korean foreign exchange market gave more weight to the bad news than to the good news during the crisis. Second, the Korean foreign exchange market responded considerably stronger to the bad news during negative momentum and the good news with positive momentum. Third, in the case of bad news, the Korean foreign exchange market gave more weight to the soft news than to the hard news during the crisis. Fourth, the impact of the unexpected news was stronger than the expected news. Lastly, Korean economy was neither dominated by nor decoupled with the global economy. Keywords Confirmation bias, Korean foreign exchange market, Global financial crisis, Market optimism, Efficient market and behavioral finance hypotheses
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