According to efficient market hypothesis, all the available information about future spot prices is incorporated into KOSPI200 stock index future contract prices immediately. In this paper, we test the hypothesis by an econometric approach developed by Johansen (2001), etc. Using only past data, we can consider stock market as efficient. (Weak-form EMH) But, it should be noted that if using past index future contract data leads to conclusion that future market is not efficient, and then the news about spot market prices is not fully incorporated in the future market. These tests imply that unbiasedness hypothesis (constant is zero, and coefficient is one) is rejected in regression equation. Notwithstanding, the forecasting performance of the Distributed-lags model using future index was best among competing forecasting models. In summary, there is no significant evidence that stock index spot markets are inefficient. Through long-run equilibrium relationships (and short-run dynamics, error correction), almost all the information for spot index in the past has functioned as spot price discovery in Korea stock markets.
| Published in | Journal of Finance and Accounting (Volume 3, Issue 5) |
| DOI | 10.11648/j.jfa.20150305.11 |
| Page(s) | 103-116 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2015. Published by Science Publishing Group |
Efficient Market, Nonstationarity, Price Discovery, Conditional ECM, Cointegration
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APA Style
Byung Woo Kim. (2015). Analysis for Efficient Stock Index Market. Journal of Finance and Accounting, 3(5), 103-116. https://doi.org/10.11648/j.jfa.20150305.11
ACS Style
Byung Woo Kim. Analysis for Efficient Stock Index Market. J. Finance Account. 2015, 3(5), 103-116. doi: 10.11648/j.jfa.20150305.11
AMA Style
Byung Woo Kim. Analysis for Efficient Stock Index Market. J Finance Account. 2015;3(5):103-116. doi: 10.11648/j.jfa.20150305.11
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Download@article{10.11648/j.jfa.20150305.11,
author = {Byung Woo Kim},
title = {Analysis for Efficient Stock Index Market},
journal = {Journal of Finance and Accounting},
volume = {3},
number = {5},
pages = {103-116},
doi = {10.11648/j.jfa.20150305.11},
url = {https://doi.org/10.11648/j.jfa.20150305.11},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20150305.11},
abstract = {According to efficient market hypothesis, all the available information about future spot prices is incorporated into KOSPI200 stock index future contract prices immediately. In this paper, we test the hypothesis by an econometric approach developed by Johansen (2001), etc. Using only past data, we can consider stock market as efficient. (Weak-form EMH) But, it should be noted that if using past index future contract data leads to conclusion that future market is not efficient, and then the news about spot market prices is not fully incorporated in the future market. These tests imply that unbiasedness hypothesis (constant is zero, and coefficient is one) is rejected in regression equation. Notwithstanding, the forecasting performance of the Distributed-lags model using future index was best among competing forecasting models. In summary, there is no significant evidence that stock index spot markets are inefficient. Through long-run equilibrium relationships (and short-run dynamics, error correction), almost all the information for spot index in the past has functioned as spot price discovery in Korea stock markets.},
year = {2015}
}
TY - JOUR T1 - Analysis for Efficient Stock Index Market AU - Byung Woo Kim Y1 - 2015/07/17 PY - 2015 N1 - https://doi.org/10.11648/j.jfa.20150305.11 DO - 10.11648/j.jfa.20150305.11 T2 - Journal of Finance and Accounting JF - Journal of Finance and Accounting JO - Journal of Finance and Accounting SP - 103 EP - 116 PB - Science Publishing Group SN - 2330-7323 UR - https://doi.org/10.11648/j.jfa.20150305.11 AB - According to efficient market hypothesis, all the available information about future spot prices is incorporated into KOSPI200 stock index future contract prices immediately. In this paper, we test the hypothesis by an econometric approach developed by Johansen (2001), etc. Using only past data, we can consider stock market as efficient. (Weak-form EMH) But, it should be noted that if using past index future contract data leads to conclusion that future market is not efficient, and then the news about spot market prices is not fully incorporated in the future market. These tests imply that unbiasedness hypothesis (constant is zero, and coefficient is one) is rejected in regression equation. Notwithstanding, the forecasting performance of the Distributed-lags model using future index was best among competing forecasting models. In summary, there is no significant evidence that stock index spot markets are inefficient. Through long-run equilibrium relationships (and short-run dynamics, error correction), almost all the information for spot index in the past has functioned as spot price discovery in Korea stock markets. VL - 3 IS - 5 ER -
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