• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.839-850
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• 2021

Risk-adjusted return is believed to be one of the optimal parameters to determine an optimum portfolio. A risk-adjusted return is a calculation of the profit or potential profit from an investment that takes into account the degree of risk that must be accepted to achieve it. This paper presents a new procedure in portfolio selection and utilizes these results to optimize the risk level of risk-adjusted Islamic stock portfolios. It deals with the weekly close price of active issuers listed on Jakarta Islamic Index Indonesia for a certain time interval. Overall, this paper highlights portfolio selection, which includes determining the number of stocks, grouping the issuers via technical analysis, and selecting the best risk-adjusted return of portfolios. The nominated portfolio is modeled using Quadratic Programming (QP). The result of this study shows that the portfolio built using the lowest Value at Risk (VaR) outperforms the market proxy on a risk-adjusted basis of M-squared and was chosen as the best portfolio that can be optimized using QP with a minimum risk of 2.86%. The portfolio with the lowest beta, on the other hand, will produce a minimum risk that is nearly 60% lower than the optimal risk-adjusted return portfolio. The results of QP are well verified by a heuristic optimizer of fmincon.

• Asia-Pacific Journal of Business
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• 제11권4호
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• pp.317-332
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• 2020

Purpose - This study examines the information effect and trading behavior of investors for the 430 stock split data from January 2004 to June 2018 in the Korean stock market. Design/methodology/approach - The stock split samples are classified into two groups by split ratio as well as three groups by price level prior to split. We also investigate the trading behavior of investors categorized by institutional versus individual investors. Findings - First, we find a significantly positive information effect on the announcement day. In particular, the information effect is more distinct in the group of larger split ratio and higher price level of stocks. Second, we find a huge increase in turnover following the stock splits, which mainly results from the trading by individual investors. Also, the increase in turnover by individual investors is evident in the group of larger split ratio and higher price level of stocks. Third, the stock splits have a negative impact on the long-term stock performance. The negative buy-and-hold abnormal return(BHAR) makes no difference in the groups by split ratio as well as price level of stocks. Lastly, we find individual investors tend to buy splitted stocks, which exhibit the long-term under-performance. Research implications or Originality - The results in this paper suggest that the liquidity hypothesis is not supported in the Korean stock splits. In addition, we observe that individual investors are exposed to losses due to their unfavorable trading behavior following the stock split.

• The Journal of Asian Finance, Economics and Business
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• 제8권9호
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• pp.45-52
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• 2021

Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has triggered stock market shocks. As a result of this situation, investors prefer to move their money into a safer portfolio. Therefore, in this study, we approach an efficient portfolio model using smart beta and combining others to obtain a fast method to predict investment stock returns. Smart beta is a method to selects stocks that will enter a portfolio quickly and concisely by considering the level of return and risk that has been set according to the ability of investors. A smart beta portfolio is efficient because it tracks with an underlying index and is optimized using the same techniques that active portfolio managers utilize. Using the logistic regression method and the data of 100 low volatility stocks listed on the Indonesia stock exchange from 2009-2019, an efficient portfolio model was made. It can be concluded that an efficient portfolio is formed by a group of stocks that are aggressive and actively traded to produce optimal returns at a certain level of risk in the long-term period. And also, the portfolio selection model generated using the smart beta, beta, alpha, and stock variants is a simple and fast model in predicting the rate of return with an adjusted risk level so that investors can anticipate risks and minimize errors in stock selection.

• Journal of the Korea Society of Computer and Information
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• 제21권1호
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• pp.139-146
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• 2016

In this paper, we analyze the information asymmetry among investors in online trading environment using rumors which are collected in the Korean stock market for the eleven-year period between January 2004 and December 2014. We find that cumulative abnormal return of sample firms is negative and statistically significant, indicating that a significant fall of the stock price starts before the online disclosure, suggesting that the rumors were reflected in the stock price to a significant extent. Furthermore, individual investors show net purchases on firms prior to disclosure while institutional investors show net sales, showing that individual investors trade unfavorably vis-$\grave{a}$-vis institutional investors. This phenomenon is more evident for the KOSDAQ. This result confirms that the information asymmetry exists between individual and institutional investors in online trading environment.

• Journal of Service Research and Studies
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• 제10권4호
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• pp.71-88
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• 2020

CB(Convertible bond) is mezzanine security that have the characteristics of bonds and stocks. From the perspective of investors, the purpose of the research is to empirically investigate the degree of investment efficiency of CB and to suggest efficient investment plans. The research method investigated the maturity interest rate, conversion price, and conversion date for CB, and then linked it with daily stock price fluctuations after the conversion date to determine the degree of investment efficiency and stock conversion effect of CB. As a result of the study, it was analyzed that the ratio of the conversion price exceeded days was only about 1/4 of the conversion date, so the investment efficiency was low. The conversion day yield was -6.3% on average and the maturity day yield was -5.2% on average, showing a minus return on average, which was calculated differently from investor expectations. It was analyzed that the number of stocks with a minus conversion day is 2.4 times greater than the number of plus stocks and 3.7 times more than the number of plus stocks with a minus maturity return, so the expected return on stock conversion of CB is low. The research contribution was derived from the problem that the expected rate of return of CB is not high, and it is that the investor's point of view when purchasing CB was established.

• Journal of the Korean Physical Society
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• 제73권10호
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• pp.1431-1436
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• 2018

We study the scaling of the price fluctuation in the Korean housing market. From the numerical analysis, we show that the normalized return distribution of the housing price, P(r), has a fat-tail and is well approximated by a power-law, $P(r){\sim}r^{-({\alpha}+1)}$, with ${\alpha}{\simeq}3$ for the whole data set. However, if we divide the data into groups based on the trading patterns, then the value of ${\alpha}$ for positive tail and negative tail can be different depending on the trading patterns. We also find that the autocorrelation function of the housing price decays much slower than that of the stock exchange markets, which shows a unique feature of the housing market distinguished from the other financial systems.

• Journal of the Korea Convergence Society
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• 제10권1호
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• pp.7-12
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• 2019

The application of neural networks to stock forecasting has received a great deal of attention because no assumption about a suitable mathematical model has to be made prior to forecasting and they are capable of extracting useful information from data, which is required to describe nonlinear input-output relations of stock forecasting. The paper builds neural network models to forecast daily KOrea composite Stock Price Index (KOSPI), and their performance is demonstrated. MAPEs of NN1 model show 0.427 and 0.627 in its learning and test, respectively. Based on the predicted KOSPI price, the paper proposes an alpha trading for trades in Exchange Traded Funds (ETFs) that fluctuate with the KOSPI200. The alpha trading is tested with data from 125 trade days, and its trade return of 7.16 ~ 15.29 % suggests that the proposed alpha trading is effective.

• The Journal of Asian Finance, Economics and Business
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• 제8권8호
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• pp.297-309
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• 2021

In this study, to capture the skewness and kurtosis detected in both conditional and unconditional return distributions of the stock markets of Kazakhstan and Russia, two versions of normal mixture GARCH models are employed. The data set consists of daily observations of the Kazakhstan and Russia stock prices, and world crude oil price, covering the period from 1 June 2006 through 1 March 2021. From the empirical results, incorporating the long memory effect on the returns not only provides better descriptions of dynamic behaviors of the stock market prices but also plays a significant role in improving a better understanding of the return dynamics. In addition, normal mixture models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specifications and has an important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by normal mixture models are more likely to exhibit the features of risk and the direction of the information flow is regime-dependent. The findings of this study contain useful information for diverse purposes of cross-border stock market players such as asset allocation, portfolio management, risk management, and market regulations.

• Asia-Pacific Journal of Business
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• 제12권3호
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• pp.343-359
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• 2021

Purpose - The purpose of this paper is to investigate the relationship between earnings management and the disclosure effect of share repurchase. In addition, we analyze whether the relationship between earnings management and share repurchase is affected by executive stock options. Design/methodology/approach - We calculate the discretionary accrual amount for the year immediately preceding the share repurchase and the cumulative excess return around the announcement of the share repurchase, and examine the relationship between the two by regression analysis. Findings - We confirmed a negative relationship between discretionary accrual in the year immediately preceding the share repurchase and the market response to the share repurchase disclosure. In particular, it was found that the negative relationship between discretionary accrual and stock price return on share repurchase announcement was found to decrease in companies to which executive stock options were granted. Research implications or Originality - When uncertainties exist in the motives for share repurchase, we find that earnings management and executive stock options can be useful tools for reducing the adverse selection risk inherent in share repurchase announcements.

• The Korean Journal of Financial Management
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• 제24권2호
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• pp.41-79
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• 2007

This study examines the expiration-day effects of stock index futures and options in the Korean stock market. The so-called 'expiration-day effects', which are the abnormal stock price movements on derivatives expiration days, arise mainly from cash settlement. Index arbitragers have to bear the risk of their positions unless they liquidate their index stocks on the expiration day. If many arbitragers execute large buy or sell orders on the expiration day, abnormal trading volumes are likely to be observed. If a lot of arbitragers unwind positions in the same direction, temporary trading imbalances induce abnormal stock market volatility. By contrast, if some information arrives at market, the abnormal trading activity must be considered a normal process of price discovery. Stoll and Whaley(1987) investigated the aggregate price and volume effects of the S&P 500 index on the expiration day. In a related study, Stoll and Whaley(1990) found a similarity between the price behavior of stocks that are subject to program trading and of the stocks that are not. Thus far, there have been few studies about the expiration-day effects in the Korean stock market. While previous Korean studies use the KOSPI 200 index data, we analyze the price and trading volume behavior of individual stocks as well as the index. Analyzing individual stocks is important for two reasons. First, stock index is a market average. Consequently, it cannot reflect the behavior of many individual stocks. For example, if the expiration-day effects are mainly related to a specific group, it cannot be said that the expiration of derivatives itself destabilizes the stock market. Analyzing individual stocks enables us to investigate the scope of the expiration-day effects. Second, we can find the relationship between the firm characteristics and the expiration-day effects. For example, if the expiration-day effects exist in large stocks not belonging to the KOSPI 200 index, program trading may not be related to the expiration-day effects. The examination of individual stocks has led us to the cause of the expiration-day effects. Using the intraday data during the period May 3, 1996 through December 30, 2003, we first examine the price and volume effects of the KOSPI 200 and NON-KOSPI 200 index following the Stoll and Whaley(1987) methodology. We calculate the NON-KOSPI 200 index by using the returns and market capitalization of the KOSPI and KOSPI 200 index. In individual stocks, we divide KOSPI 200 stocks by size into three groups and match NON-KOSPI 200 stocks with KOSPI 200 stocks having the closest firm characteristics. We compare KOSPI 200 stocks with NON-KOSPI 200 stocks. To test whether the expiration-day effects are related to order imbalances or new information, we check price reversals on the next day. Finally, we perform a cross-sectional regression analysis to elaborate on the impact of the firm characteristics on price reversals. The main results seem to support the expiration-day effects, especially on stock index futures expiration days. The price behavior of stocks that are subject to program trading is shown to have price effects, abnormal return volatility, and large volumes during the last half hour of trading on the expiration day. Return reversals are also found in the KOSPI 200 index and stocks. However, there is no evidence of abnormal trading volume, or price reversals in the NON-KOSPI 200 index and stocks. The expiration-day effects are proportional to the size of stocks and the nearness to the settlement time. Since program trading is often said to be concentrated in high capitalization stocks, these results imply that the expiration-day effects seem to be associated with program trading and the settlement price determination procedure. In summary, the expiration-day effects in the Korean stock market do not exist in all stocks, but in large capitalization stocks belonging to the KOSPI 200 index. Additionally, the expiration-day effects in the Korean stock market are generally due, not to information, but to trading imbalances.