This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

The study is carried out with the objective of testing the efficient market hypothesis (EMH) at the semistrong form level. As such, the study employs two publicly available data variables – the exchange rate (RM/USD) and short-term interest rate as proxied by the overnight policy rate (OPR)....