This study empirically tested whether stock returns in the Korean securities market exhibit chaotic characteristics. Because previous research findings have been contradictory, we varied the analytical data and additionally analyzed industry-level stock index returns. The analysis covered 16 years of daily stock returns from 1980 to 1995. The Hurst exponent and Lyapunov exponent were calculated, and the existence of fractal structure in pseudo-phase space was examined for both the value-weighted and equally-weighted composite stock index returns and six industry-level index returns. The results indicated that, with the exception of the banking industry—a service sector—the returns of the composite stock index and industry-level indices do not exhibit chaotic characteristics. Therefore, stock returns in Korea can be regarded as mostly random. Since these empirical findings are contrary to those from the United States and chaotic characteristics were found in the Korean banking industry, further research is needed.