• Management & Information Systems Review
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• v.35 no.3
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• pp.195-212
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• 2016

Utilizing intra-day volume weighted average price (VWAP) based on 1 minute return data of stocks traded on the Korean Stock Exchange, this paper examines and analyzes abnormal returns in reaction to patent listing disclosures as well as the cumulative abnormal returns, traded volumes, the interaction of VWAP spreads, the reaction of volumes, the reaction of VWAP spreads and the realized returns obtained from trading using an event driven arbitrage strategy. The results of the aforementioned research topics are follows. First, our analysis suggests that on average, 0.92% positive cumulative returns arise 1 minute after the patent listing disclosure announcement with high statistical significance, thereby reconfirming that the Korean stock market is a semi-strong form of the efficient market. Employing 3 separate panel tests differentiated by the size factor, we find that the abnormal returns of small sized stocks were less than the returns of medium sized stocks, which goes to support recent research findings suggesting that the size premium is no longer existent in the Korean stock market. Secondly, we show that among the event driven type strategies, the most outstanding realized returns are from the market making strategies. Furthermore, placing market order trades only at the bid or ask price resulted in negative returns. This implies that strategies utilizing a combination of market orders and limit orders, order cancelations ratios and order flows can enhance realized returns.

• Journal of Korea Trade
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• v.24 no.6
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• pp.1-18
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• 2020

Purpose - This study investigates whether a listing effect exists in cross-border M&As and whether the effect can be attributed to the uncertainty of the GDP growth rate in the target firm's home country. We apply a joint variable analysis using M&A announcement data from the Korea Exchange (KRX), Shanghai Stock Exchange (SSE), and the Taiwan Stock Exchange (TWSE) from 2004 to 2013. We also conduct an event study using the measure of the uncertainty of the GDP growth rate (based on IMF statistics) in 55 target countries. Design/methodology - We measure the abnormal return (AR) using the market-adjusted model. We test the significance of the AR and the cumulative abnormal return (CAR) using a one-sample t-test. We examine the characteristics of the CARs depending on whether the target company is listed by applying a difference analysis using CAR as a test variable. In addition, we set CAR (-5, +5) as a dependent variable to identify the cause of the listing effect, and test both the financial characteristic variables of the acquirer and the collective characteristic variables of the merger as independent variables in the multiple regression analysis. Findings - First, we find the listing effect of cross-border M&As in the KRX, SSE, and TWSE, which represent the capital markets in Korea, China, and Taiwan, respectively. This listing effect persists during the global financial crisis and has a negative effect on the wealth of acquiring shareholders, especially when the target countries are emerging markets. Second, greater uncertainty regarding the target countries' economic growth in cross-border M&As has a negative effect on the wealth of acquiring firms' shareholders. Third, our empirical analysis demonstrates that the listing effect is attributable to the fact that firms listed in a target country with greater uncertainty of economic growth are more directly and greatly exposed to uncertain capital markets through stock markets, than are unlisted firms. Originality/value - This study is significant in that it presents a new strategic perspective in the study of cross-border M&As by demonstrating empirically that the listing effect is attributable to the uncertainty regarding the economic development of the target firms' home countries.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.38 no.6
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• pp.793-800
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• 2018

It is necessary to determine an optimal design frequency for establishing stable flood control against frequent flood disasters. Depending on the importance of river and regional characteristics, design return periods are suggested from at least 50 years up to 200 years for river design. However, due to the wide range of applications, it is not desirable to reflect the geographical and flood control characteristics of river. In this study, Bayes theory was applied to seven evaluation factors to determine the optimal design return period of rivers in Chungcheongnam-do; urbanization flooded area, watershed area, basin coefficient, slope, water system and stream order, range of backwater effect, abnormal rainfall occurrence frequency. The potential flood damage (PFD) capacity was estimated considering climate change and the appropriate design return period was determined by analyzing the capacity of each district. We compared the design return periods of 382 rivers in Chungcheongnam-do with the existing design return periods. The number of rivers that were upgraded from the existing return period were 65, which have relatively large flooding areas and have large PFDs. Whereas, the number of rivers that were downgraded were 169.

• The Journal of Society for e-Business Studies
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• v.21 no.2
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• pp.81-96
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• 2016

This paper analyzes the impact of information breach on shareholder value by measuring the stock price reaction associated with the announcements of data breach. The breach firms in the sample lost, on average, 1.3% of their market value, amounting to 98.9 million won of loss within two-day of the event period after the announcement. We examine the abnormal returns in various categories (i.e., source, type, size, etc.) of information breach. Although the market does not react significantly to the announcements of outside breach, we find statistically significant market reactions to inside breach. We estimate abnormal returns over the following 60 days. The mean 60-day cumulative abnormal return and BHAR (buy-and-hold abnormal returns) are both significantly far from zero. We conclude that there is a coherent market reaction following the announcement. The difference between the market reactions to IT firms and Non-IT firms is statistically significant. But breach amount, firm size, and the year the breach occurred do not show to be significant variables.

• Korean Management Science Review
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• v.27 no.3
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• pp.161-196
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• 2010

This paper empirically investigates the impact of winning a service quality award on the market value in Korea. We estimates the mean "abnormal" change in the stock prices of sample firms when information of winning a service quality award was publicly announced. To access the validity of the research question, this paper employed collected 47 firms data that received the Korean Service Quality Awards so far. Event study methodology was used to analyze the effect of Korean service quality awards. The findings are as follows; The average abnormal returns on the event date are not significant at the 0.05 level which means that the receiving Korean Service Quality Awards has no influence on the firms' market value. On the other hand successive awarded firms have an increasing effect on the market value and it is significant at the 0.05 level. Furthermore, the results show that the factors of firm size such as firm's total assets are critical to vary the firms' abnormal returns. There might be some limitations in this study. The most obvious problem is the limitation of sample size. Although 518 sample cases were found during the period from 2000 to 2008, most of the cases were deleted according to the sample criteria. We are expecting the future research with more data and more precise results. Furthermore, our research consider the only two service award institutions even though there are several different service award authorities in Korea. It is needed to expand the research scope and range to adopt the various service award institutions for the future work.

• Journal of the Korean Operations Research and Management Science Society
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• v.23 no.4
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• pp.213-224
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• 1998

Since the late 1980s, an Increasing number of neural network models have been studied in the areas of financial prediction and analysis. The purpose of this study is to Investigate the possibility of building a neural network model that is able to construct a profitable trading strategy in the Korean Stock Market. This study classifies stocks into the future market winners and losers from the publicly available accounting information and builds portfolios based on this information. The performances of the winner portfolios and the loser portfolios are compared with each other and against the market index. The empirical result of this research is consistent with the traditional fundamental analysis where it is claimed that the financial statements contain firm values that may not be fully reflected In stock prices without delay. Despite the supporting empirical evidence. It is somewhat Inconclusive as to whether or not the abnormal return in excess of market return is the result of the extra knowledge obtained in the neural network models derived from the historical accounting data. This research attempts to open another avenue using neural network models for searching for evidence against market efficiency where statistics and intuition have played a major role.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.55-65
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• 2020

The objective of this study is to investigate how investors in the Stock Exchange of Thailand practically trade in response to a magnitude of profits and losses, given a discussion of the widely well-known behavioral explanation, so called as the disposition effect. We provide empirical evidence of an existence of the V-shaped disposition effect, which has been recently found in several advanced equity markets. By adopting the methodology suggested by An's (2016) and Fama and Macbeth (1973), we document that stock return patterns in relation to aggregate unrealized gains and losses of investors are consistent with the V-shaped selling schedule, given an increase in unrealized gains and losses over the period of January 1996 to December 2015. The effect of unrealized gains is stronger than that of unrealized losses and this asymmetry underlies the existence of the V-shaped disposition effect in the Thai equity market. Interestingly, the effect of the V-shaped selling schedule is strongest over the short-term holding time horizon. Last but not the least, stocks for which investors have large unrealized gains and losses outperform in the following month and the long-short trading strategy, based on this premise, generates the average 1.7% monthly (equivalent to 20.0% per year) abnormal return.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.11-19
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• 2021

The study aims to investigate the impact of seasonality in Gulf Cooperation Council (GCC) countries' share market during the month of Ramadan. It helps in finding the opportunities for stock market investors to earn abnormal (returns) gain by investing during Ramadan in GCC stock markets. This study uses stock returns data of GCC countries (Saudi Arabia, Bahrain, Qatar, Kuwait, Dubai, and UAE) from January 2004 to November 2019. Stock prices indexes of GCC stock markets have been obtained from Datastream. The ARCH-GARCH model is used to study the impact of the Ramadan month on the return and volatility of the stock market in GCC countries. The results showed that the Ramadan month has a significant impact on share market prices in Saudi Arabia and the United Arab Emirates. However, Ramadan has an insignificant impact on share market prices in Bahrain and Oman. The study found no evidence of serial correlational between residuals in Kuwait; meaning that stock return was not dependent on the prior stock returns in Kuwait, therefore, we cannot go for forecasting. The ARCH-LM test statistic for Qatar does not fulfill the requirement of a good regression model; therefore, we cannot go for forecasting or testing the hypothesis of Qatar.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.233-260
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• 2003

This paper compares the underpricing of IPOs listed on KOSADQ with that of IPOs listed on KSE. When we consider the last day of upper price limit of IPOs, IPOs on KSE show higher initial excess return than IPOs on KOSDAQ. And AR2 which is the abnormal return based on the stock price of the last day recording upper limit after listing, IPOs on KOSDAQ exhibit larger abnormal return than IPOs on KSE. Our study also reports that the long-term performance of IPOs in two markets does not show any difference. That is, IPOs of both markets under performed in the long-run. The wealth relatives of IPOs are a little higher than market portfolio. We explored the reasons of the underpricing of IPOs in both markets through the multiple regression analysis. The business history is examined asstatistically significant variable to explain the underpricing.

• Journal of Information Technology Services
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• v.17 no.1
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• pp.33-45
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• 2018

Recently, many South Korean firms have suffered financial losses and damaged corporate images from the data breaches. Accordingly, a firm should manage their IT assets securely through an information security investment. However, the difficulty of measuring the return on an information security investment is one of the critical obstacles for firms in making such investment decisions. There have been a number of studies on the effect of IT investment so far, but there are few researches on information security investment. In this paper, based on a sample of 76 investment announcements of firms whose stocks are publicly traded in the South Korea's stock market between 2001 and 2017, we examines the market reaction to information security investment by using event study methodology. The results of the main effects indicate that self-developed is significantly related to cumulative average abnormal returns (CAARs), while no significant effect was observed for discloser, investment characteristics and firm characteristics. In addition, we find that the market reacts more favorably to the news announced by the subject of investment than the vendor, in case of investments with commercial exploitation. One of main contributions in our study is that it has revealed the factors affecting the market reaction to announcement of information security investment. It is also expected that, in practice, corporate executives will be able to help make an information security investment decision.