• KDI Journal of Economic Policy
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• v.32 no.1
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• pp.97-129
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• 2010

We examine performance of actively managed equity funds in Korea for the period from 2002 to 2008 and investigate if fund managers have market timing abilities. We obtain the following findings: (1) average performance of funds evaluated at net return basis(net of expenses) is statistically indistinguishable from zero; (2) average performance of funds evaluated at gross return basis(before netting expenses) exceeds benchmark market returns significantly. More importantly, when funds are grouped by their size of expenses, higher performance is matched with larger expense; (3) the regression results for decomposing positive excessive returns of large-expense funds between market timing and stock selection ability are mixed. The first two findings of the paper are consistent with the Efficient Market Hypothesis a $l{\acute{a}}$ Grossman and Stiglitz(1980). Concluding remarks, however, need to be reserved since sources of excessive performance of funds with large expenses are yet to be clarified.

• Journal of the Korean Operations Research and Management Science Society
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• v.9 no.2
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• pp.34-45
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• 1984

The aim of this study is to investigate efficiency of foreign exchange markets for 8 currencies for the floating rate regime 1974～1982 by comparison of various foreign exchange rate forecasting models’performances. The author presents evidences showing that efficient market hypothesis was not supported.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.741-749
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• 2021

The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.

• East Asian Economic Review
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• v.23 no.2
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• pp.149-168
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• 2019

Public information arrivals and their immediate incorporation in asset price is a key component of semi-strong form of the Efficient Market Hypothesis. In this study, we explore the impact of public information arrivals on cryptocurrency market via Twitter posts. The empirical analysis was conducted through various methods including Kapetanios unit root test, Maki cointegration analysis and Markov regime switching regression analysis. Results indicate that while in bull market positive public information arrivals have a positive influence on Ripple's value; in bear market, however, even if the company releases good news, it does not divert out the Ripple from downward trend.

• Journal of Navigation and Port Research
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• v.42 no.5
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• pp.341-346
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• 2018

Supramax bulk carriers cover a wide range of ocean transportation requirements, from major to minor bulk cargoes. Market forecasting for this segment has posed a challenge to researchers, due to complexity involved, on the demand side of the forecasting model. This paper addresses this issue by using technical indicators as input features, instead of complicated supply-demand variables. Artificial neural networks (ANN), one of the most popular machine-learning tools, were used to replace classical time-series models. Results revealed that ANN outperformed the benchmark binomial logistic regression model, and predicted direction of the spot market with more than 70% accuracy. Results obtained in this paper, can enable chartering desks to make better short-term chartering decisions.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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• pp.185-195
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• 2020

This study examines the association between governance quality at country level and stock market performance. Specifically, the study investigates the influence of control of corruption, government effectiveness, political stability and absence of violence, rule of law, regulatory quality, and voice and accountability on all-share index of the stock markets of the six Gulf Cooperation Council (GCC) countries. This study is anchored on two theories - the Efficient Market Hypothesis (EMH) and Institutional Theory. The study employs panel data spanning from 2006 to 2017. The findings show that political stability and absence of violence and rule of law exhibit a significant positive impact on stock market performance, while regulatory quality and voice and accountability have a significant, but negative relationship with stock market performance. The results imply that quality of governance in terms of rule of law and political stability devoid of violence have strong impact on stock market returns. Similarly, improved stock market returns are largely dependent on the efficiency of the institutional environment of market as investors are always wary of the inherent risks associated with the uncertainty of the market. This study has crucial policy implications for the government of the GCC countries and stock market participants.

• The Korean Journal of Financial Management
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• v.26 no.1
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• pp.189-220
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• 2009

This study tests the significance of momentum and contrarian strategy which challenge the weak efficient market hypothesis (EMH). If momentum and contrarian strategy can make extra return above the market, this can be a significant critics to the weak EMH. By using Monte Carlo simulation we have found that many existing returature, which test the significance of momentum and contrarian strategy, have a significance distortion problem. We test the significance of momentum and contrarian strategy by using reality check test of White(2000) which solve the problem of data snooping bias. The results are following. When we use the KOSPI index as the benchmark portfolio, we can get the best strategy of momentum strategy in the case of mean return. But in the case of Sharp ratio which is the performance measure adjusting risk, we find that the best strategy in the momentum and contrarian strategy can not dominate the performance of benchmark portfolio. Therefore we argue that weak EMH can not be rejected because of superior performance of momentum and contrarian strategy when we consider risk.

• Asia pacific journal of information systems
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• v.26 no.4
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• pp.526-541
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• 2016

This research aims to examine the predictive power of multiple online stock message boards, namely, NAVER Finance and PAXNET, which are the most popular stock message boards in South Korea, in stock market activities. If predictive power exists, we then compare the predictive power of multiple online stock message boards. To accomplish the research purpose, we constructed a panel data set with close price, volatility, Spell out acronyms at first mention.PER, and number of posts in 40 companies in three months, and conducted a panel vector auto-regression analysis. The analysis results showed that the number of posts could predict stock market activities. In NAVER Finance, previous number of posts positively influenced volatility on the day. In PAXNET, previous number of posts positively influenced close price, volatility, and PER on the day. Second, we confirmed a difference in the prediction power for stock market activities between multiple online stock message boards. This research is limited by the fact that it only considered 40 companies and three stock market activities. Nevertheless, we found correlation between online stock message board and stock market activities and provided practical implications. We suggest that investors need to focus on specific online message boards to find interesting stock market activities.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.5
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• pp.9-18
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• 2020

The research paper examines the influence of elections on the stock market. The study analyses whether the market reaction would be the same when a party wins and comes to power for the second consecutive time. The study employs Market Model Event study methodology. The sample period taken for the study is 2014 to 2019. A sample of 31 companies listed in Bombay Stock Exchange is selected at random for the purpose of the study. For the elections held in 2014, an event window of 82 days was taken with 39 days prior to the event and 42 days post event. The event (t0) being the declaration of the election results. For the elections held in 2019 an event window of 83 days was taken with 41 days prior to the event and 41 days post event. The results indicate that the market reacts positively with significantly positive Average Abnormal Returns. The findings of the study reveal that the impact on the market is not the same between any two elections even when the same party comes to power for the second time. The semi-strong form of efficient market hypothesis holds true in the context of emerging markets like India.

• Asia-Pacific Journal of Business
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• v.11 no.1
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• pp.61-75
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• 2020

Purpose - The purpose of this study was to examine the efficiency of the foreign exchange markets in Korea, Japan and China. Design/methodology/approach - This study collected 1327 observations each of the daily closing exchange rates of the three currencies against the US dollar for the sample period from January 1, 2015 to January 31, 2020, based on the tests for autocorrelation, unit root tests and GARCH-M(1,1) model estimation. Findings - We have found that the autocorrelation test indicates the lack of autocorrelation and unit root test confirms the existence of unit roots in all times series of the three currencies, respectively. The GARCH-M(1,1) test results, however, suggest that the exchange rates do not follow a random walk process. In conclusion, the recent spot foreign exchange markets in Korea, Japan and China are believed to be informationally inefficient. Research implications or Originality - These findings have practical implications for both individual and institutional investors to be able to obtain excess returns on their investments in the foreign exchange markets in three countries by using appropriate risk management, portfolio strategy, technical analysis, etc. This study provides the first empirical examination on the foreign exchange market efficiency in the three biggest economies in Asia including China, which has been excluded from research due to its exchange rate regime.