• Title/Summary/Keyword: Korean Stock Market

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A study on the information transfer effect among the China stock markets (중국증권시장의 정보이전효과에 관한 연구)

  • Lee, Sang-Woo;Lee, Eui-Kyung
    • Journal of the Korean Data and Information Science Society
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    • v.23 no.6
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    • pp.1075-1084
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    • 2012
  • This study examines stock market co-movement among three China stock markets: Shanghai stock market, Shenzhen stock market, Hongkong stock market. US stock market leads three China stock markets and Honkong stock market leads Shanghai and Shenzhen stock market. But there are no lead-lag effects among China stock markets after controlling US stock market effect. These results could be important for the investors and firms that are interested in China stock markets.

Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

  • I, Taly
    • East Asian Economic Review
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    • v.19 no.3
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    • pp.275-322
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    • 2015
  • The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

Is Foreign Investors' behavior Involved in Investor Sentiment? Evidence Based on the Korean Stock Crashes

  • Choi, Suyoung
    • Journal of East Asia Management
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    • v.3 no.1
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    • pp.41-55
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    • 2022
  • This study investigates whether foreign investors' behavior is involved in firm-specific investor sentiment. Because the mixed role of foreign investors on investor sentiment formation seems to exist in the Korean stock market, it needs to examine the moderate or incremental effect of foreign investors on the stock price crash risk which is due to investor sentiment. The analysis results using Korea Stock Exchanges - listed firms for the period of 2011-2019 show the increased future stock price crash risk which is attributable to high investor sentiment is mitigated for firms with the high foreign ownership, indicating the moderate effect. This study expands the literature on the foreign investors' behavior in the Korean stock market, by showing foreign investors are not involved in firm-specific investor sentiment, which improves market's efficiency in the Korean stock market. Also, the paper is valuable to the academic and practice field in that the findings shed light on the foreign investors' mitigating role in stock price crashes in the behavioral finance perspective.

Empirical Analysis on the Spillover Effects between Korean and U.S. Stock Market after U.S. Financial Crisis (서브프라임사태 전후 한미간 정보전이현상에 관한 연구)

  • Yae, Min Soo
    • Journal of Korea Society of Digital Industry and Information Management
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    • v.4 no.4
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    • pp.113-125
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    • 2008
  • This paper investigates the spillover effects(co-movements) between korean and U.S stock market by KOSPI and DJIA Index. Especially it compare to the pre- and post period of U.S. financial crisis resulted from sub-prime mortgage loan. The main results are as follows. First, the spillover effects of DJIA(U.S. market) to KOSPI(Korean market) are strong. This result accord with the former researches on this subject. Second, spillover effects are more strong after U.S. financial crisis. A possible reason for this phenomenon is a trend which the major investors such as foreign and institutional investors in domestic stock market have more attention to U.S. stock market. Third, the spillover effects appear in the opposite direction, that is KOSPI(Korean Stock Market) to DJIA(U.S. Stock Market). It seems to be the results of asian stock market's growing infIuences to European and U.S Markets.

Stock Returns and Market Making with Inventory

  • Park, Seyoung;Jang, Bong-Gyu
    • Management Science and Financial Engineering
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    • v.18 no.2
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    • pp.1-4
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    • 2012
  • We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

A Multivariate GARCH Analysis on International Stock Market Integration: Korean Market Case

  • Kim, Namhyoung
    • Management Science and Financial Engineering
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    • v.21 no.1
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    • pp.31-39
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    • 2015
  • Financial integration is a phenomenon in which global financial markets are closely connected with each other. This article investigates the integration of Korean stock market with other stock markets using a multivariate GARCH analysis. We chose total seven countries including Korea for this paper based on the amount of export and then we chose major stock indices which can be thought as representative stock markets of those countries. The empirical analysis has shown that countries' financial integration.

A Trade Strategy in Stock Market using Market Basket Analysis (장바구니분석을 이용한 주식투자전략 수립 방안)

  • 주영진
    • Journal of Information Technology Applications and Management
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    • v.9 no.4
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    • pp.65-78
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    • 2002
  • We propose a new application method of the datamining technique that might help building an efficient trade strategy in the stock market, where the analysis of the huge database is essential. The proposed method utilizes the association rules among the price changes of individual stock from the market basket analysis (a datamining technique typically used in the Marketing field) in building the strategy We also apply the proposed method to the daily stock prices in Korean stock market, from Jan. 2000 to Dec. 2001. The application results show that the proposed method gives an significantly higher yield rate than the actual stock chage rate.

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A Study on Developing a Profitable Intra-day Trading System for KOSPI 200 Index Futures Using the US Stock Market Information Spillover Effect

  • Kim, Sun-Woong;Choi, Heung-Sik;Lee, Byoung-Hwa
    • Journal of Information Technology Applications and Management
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    • v.17 no.3
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    • pp.151-162
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    • 2010
  • Recent developments in financial market liberalization and information technology are accelerating the interdependence of national stock markets. This study explores the information spillover effect of the US stock market on the overnight and daytime returns of the Korean stock market. We develop a profitable intra-day trading strategy based on the information spillover effect. Our study provides several important conclusions. First, an information spillover effect still exists from the overnight US stock market to the current Korean stock market. Second, Korean investors overreact to both good and bad news overnight from the US. Therefore, there are significant price reversals in the KOSPI 200 index futures prices from market open to market close. Third, the overreaction effect is different between weekdays and weekends. Finally, the suggested intra-day trading system based on the documented overreaction hypothesis is profitable.

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East Asian five stock market linkages (아시아 주식수익률의 동조화에 대한 연구)

  • Jung, Heon-Yong
    • Management & Information Systems Review
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    • v.27
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    • pp.131-147
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    • 2008
  • The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low. First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia. Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns. The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

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Segmentation of the Internet Stock Trading Market Using Self Organizing Map (SOM을 이용한 인터넷 주식거래시장의 시장세분화 전략수립에 관한 연구)

  • 이건창;정남호
    • Journal of the Korean Operations Research and Management Science Society
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    • v.27 no.3
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    • pp.75-92
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    • 2002
  • This paper is concerned with proposing a new market strategy for the segmented markets of the Internet stock trading. Many companies are providing various services for customers. However, the internet stock trading market is glowing rapidly absorbing a wide variety of customers showing different tastes and demographic information, so that it is necessary for us to investigate specific strategy for the segmented markets. General strategy so far in the Internet stock trading market has been to lower transaction fee according to the market trend. As the advent of rapidly enlarging market, however, more specific strategies need to be suggested for the segmented markets. In this respect, this paper applied a self-organizing map (SOM) to 83 questionnaire data collected from the Internet stock trading market in Korea, and obtained meaningful results.