Journal of the Korea Academia-Industrial cooperation Society (한국산학기술학회논문지)

The Korea Academia-Industrial cooperation Society (한국산학기술학회)
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A Study of TOM(Turn-of-the-Month) Effect in KOSDAQ Market

코스닥시장의 월바뀜(TOM)효과에 관한 연구

  • Hong, Geon-Pyo (The Jeonju Branch of Hanwha Investment and Security Company) ;
  • Im, In-Seob (Dept. of Business Administration, ChonBuk National University) ;
  • Oh, Hyun-Tak (Dept. of Business Administration, ChonBuk National University)
  • Received : 2014.12.17
  • Accepted : 2015.01.08
  • Published : 2015.01.31
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Abstract

The purpose of this study is to verify TOM(turn-of-the-month) effect in the Kosdaq market, and that to compare to TOM effect of KOSPI for supporting degree of identification and to find new features. For this study, as the study basis sample, we used the daily data of the KOSDAQ from January 1996 to December 2013 and verified the TOM effect through yearly, monthly, classification by event as financial crisis, different period of TOM in order to clarify the effect of the KOSPI and KOSDAQ. As a result, We find that the TOM effect in KOSDAQ is always present uniformly in yearly, monthly, event-specific, which unlike TOM period also in KOSPI and generally TOM effect in KOSDAQ market which has larger volatility was appeared more pronouncedly than KOSPI market, and particularly TOM effect of KOSDAQ was larger than that of KOSPI on financial crisis occasion. But TOM effect of KOSDAQ was less stable than KOSPI.

본 연구의 목적은 코스닥시장에서의 증권시장의 이상현상(anomaly effect) 중의 하나인 월바뀜(TOM)효과에 대해 검증하고 이를 코스피시장의 연구 결과와 비교하여 코스피시장의 연구결과의 지지정도와 새로운 특징을 규명하고자 하는 것이다. 이를 위해 본 연구에서는 1996년 1월부터 2013년 12월까지(18years, 216months) KOSDAQ의 일별 표본자료를 기초 자료로 하여 연도별, 월별, 이벤트별 TOM효과를 검증하였다. 또한 코스피시장과 코스닥시장의 월바뀜효과를 명확히 비교 검증하기 위해 월바뀜(TOM)기간을 다소 달리하여 양시장의 TOM수익률과 나머지기간(ROM)의 수익률을 비교 검증하였다. 연구 결과를 보면 연도별, 월별, 이벤트별, TOM기간을 달리한 분석에서 TOM효과는 ROM효과에 비해 일반적으로 항상 존재하는 것으로 분석되어 양(+)의 TOM효과를 입증하였다. 또한 변동성이 큰 코스닥시장의 TOM효과가 코스피시장보다 컸으나 다소 연도별로 효과가 안정적이지 못하였으며, 분산이 비교적 크게 나타난 금융위기 전후 시기에는 코스닥에서 TOM효과가 더욱 뚜렷하게 나타나는 것으로 분석되었다.

Keywords

References

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