• Proceedings of the Korean Operations and Management Science Society Conference
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• 2004.10a
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• pp.582-586
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• 2004

The purpose of this study is to examine the lead-lag relationship between volatility and returns in high frequency stock market data to see the validity of two hypotheses that explain volatility asymmetry. Specifically, wavelet analysis is applied to decompose the volatility process into permanent and transitory components and then each component is investigated in conjunction with returns. The results from cross-correlation analysis between volatility and returns support the leverage effect hypothesis rather than the volatility feedback hypothesis in all cases.

• Communications for Statistical Applications and Methods
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• v.21 no.5
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• pp.445-459
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• 2014

This paper investigates the dependence structure of Korean financial markets (stock, foreign exchange (FX) rates and bond) using copula-GARCH and dynamic conditional correlation (DCC) models. We examine GJR-GARCH with skewed elliptical distributions and four copulas (Gaussian, Student's t, Clayton and Gumbel) to model dependence among returns, and then employ DCC model to describe system-wide correlation dynamics. We analyze the daily returns of KOSPI, FX (WON/USD) and KRX bond index (Gross Price Index) from $2^{nd}$ May 2006 to $30^{th}$ June 2014 with 2,063 observations. Empirical result shows that there is significant asymmetry and fat-tail of individual return, and strong tail-dependence among returns, especially between KOSPI and FX returns, during the 2008 Global Financial Crisis period. Focused only on recent 30 months, we find that the correlation between stock and bond markets shows dramatic increase, and system-wide correlation wanders around zero, which possibly indicates market tranquility from a systemic perspective.

• 한국벤처창업학회:학술대회논문집
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• 2018.04a
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• pp.183-185
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• 2018

Online search has recently become a popular business research field not only because the search volume is used to predict demand, but also consumer search history is effective to predict product prices and investment returns. This study analyzes the relationship between the Internet search volume of IPO stocks and their post-IPO stock returns in Korean Exchange. We find that the lower the amount of Internet search for stocks before IPO, the higher the stock returns after IPO both in short and long-term. Similar results are shown for excess returns over benchmark stocks. This finding suggests that IPO stocks with low investors' attention based on the Internet search volume may be undervalued.

• Management Science and Financial Engineering
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• v.17 no.2
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• pp.85-97
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• 2011

In this study we examine the long term behavior of stock returns. The analysis reveals that negative autocorrelations of the returns exist for a super-long horizon as long as 10 years. This pattern, however, contrasts to predictions of previous stock price models which include random walks. We suggest the introduction of a fractionally integrated process into a nonstationary component of stock prices, and demonstrate empirically the existence of the process in NYSE stock returns. The predicted values of autocorrelation from our stock price model confirm the super-long term behavior of the returns observed in regression, indicating that inefficiency in the stock market could remain for a long time.

• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.103-140
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• 2009

This paper investigates various channels through which liquidity can affect stock returns and examines whether behavioral explanation for liquidity risk is reasonable. First, we examine whether liquidity level (average liquidity) plays a significant role in determining asset returns. The result is consistent with the hypothesis that a stock with higher average illiquidity will have a higher expected return. Second, we focus on the argument that liquidity has a non-diversifiable systematic component. If systemic liquidity has a different impact across individual securities, a stock that is more sensitive to systematic liquidity will have a higher expected return. The results of various tests are inconsistent with each other, not completely supporting the argument. Finally, the intra-market tests in Korea support the behavioral explanation for the liquidity premium, and the effect is stronger in the liquidity level than in the liquidity beta related to systematic liquidity.

• Management & Information Systems Review
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• v.26
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• pp.1-26
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• 2008

Since Capital Asset Pricing Model(CAPM) was proposed in the early 1960s by William Sharpe(1964) and John Lintner(1965) researchers have investigated the validity of the model. The results of empirical researches do not show that expected returns of stocks seem to be determined solely by systematic risk of the stocks as precicted by CAPM. In this paper the relationship between transaction volume and expected returns of stocks was investigated. Empirical cross-sectional analysis about the data collected from Stock Market of Korea Exchange shows transaction volume and variability of stock returns play an important role in pricing assets. The well-known variables which were used traditionally to explain the differences of expected returns among stocks such as the size and beta of a stock seems to be unimportant in pricing assets.

• East Asian Economic Review
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• v.18 no.3
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• pp.253-276
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• 2014

We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that exchange rate risk, firm size, the book-to-market ratio, and the net income ratio are important in explaining future bank stock returns during normal times. However, during the Global Financial Crisis period, different variables such as local market beta, illiquidity risk, equity ratio, and off-balance sheets ratio were statistically significant. Thus, researchers and policy practitioners should monitor these variables during normal times as well as during times of crisis.

• East Asian Economic Review
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• v.22 no.1
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• pp.75-114
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• 2018

A two-part model is estimated to see if increasing returns and comparative advantage are empirically equivalent in explaining intra-industry trade. The model has separate mechanisms for determining the occurrence and the extent of intra-industry trade. Estimation is based on an augmented Grubel-Lloyd index derived from the data set on SITC 7 goods at the 3-digit SITC (Revision 4) for country pairs in which Korea is fixed as a source country. Estimation results show that both increasing returns and comparative advantage can explain the occurrence and the extent of intra-industry trade.

• East Asian Economic Review
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• v.18 no.2
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• pp.111-142
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• 2014

We examine whether country fundamentals help explain the cross-section of currency excess returns. For this purpose, we consider fundamental variables such as default risk, foreign exchange rate regime, capital control as well as interest rate in the multi-factor model framework. Our empirical results show that fundamental factors explain a large part of the cross-section of currency excess returns. The zero-intercept restriction of the factor model is not rejected for most currencies. They also reveal that our factor model with country fundamentals performs better than a factor model with usual investment-style factors. Our main empirical results are based on 2001-2010 balanced panel data of 19 major currencies. This paper may fill the gap between country fundamentals and practitioners' strategies on currency investment.

• Journal of Korea Society of Industrial Information Systems
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• v.21 no.5
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• pp.73-83
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• 2016

NAVER provides search frequency data of search terms via its DataLab service (http://datalab.naver.com/). Using this data, this paper examines the relation between the search frequency of firm's name and its future stock returns. Our results show that the search frequency of firm's name is a new investor attention measure, which is different from previously explored attention measures such as extreme returns, turnover, etc. Firms that go through higher search frequency this week tend to have higher returns in the next week. We do not find return reversal in the long run for the firms with higher search frequency. Furthermore, the extent to which search frequency affects stock returns becomes more pronounced following market-wide attention grabbing events. Our results indicate that search frequency incorporates information for future stock returns.