The Impact of Trading Information in Derivative Markets on the Korean Stock Market

2011 ◽  
Author(s):  
TaeHyuk Kim ◽  
Jonghae Park ◽  
Aejin Ha
Keyword(s):  
Stock Market ◽  
Korean Stock Market ◽  
Derivative Markets ◽  
The Impact

scholarly journals Investor Attention, Market Dynamics, and Momentum in the Korean Stock Market

2020 ◽  
Vol 49 (4) ◽  
pp. 589-641
Author(s):  
Cheoljun Eom ◽  
Uk Chang ◽  
Byung Jin Kang ◽  
Woo Baik Lee ◽  
Jong Won Park
Keyword(s):  
Stock Market ◽  
Market Dynamics ◽  
Momentum Effect ◽  
High Turnover ◽  
Investor Attention ◽  
Momentum Profits ◽  
Korean Stock Market ◽  
Market Situation ◽  
The Impact ◽  
Loser Portfolio

This study examines the effects of investor attention on momentum in the Korean stock market. The results reveal significant negative momentum profits in stock groups with high investor attention (high turnover stocks), but insignificant results in those with low investor attention (low turnover stocks). Within high turnover stock groups, the winner portfolio has a declining price trend and insignificant performance, while the loser portfolio realizes significant positive performance through a substantial price increase in the future period. The momentum effect is highly dependent on the reversed performance of the loser portfolio. Second, the performance of the large overreaction stock group shows a more significant negative momentum effect compared to the low overreaction stock group, that is, the degree of overreaction significantly affects the momentum effect. Third, negative momentum profits are consistently observed regardless of the market dynamics. Specifically, more substantial and significant negative performance occurs in the transition market, where the market situation reverses between the past and future periods. Fourth, negative momentum profits are consistently identified even after controlling for the impact of common factors and volatility and liquidity into turnover. Our findings are qualitatively different from the characteristics of the traditional momentum effects generally reported in Western countries.

scholarly journals Information Spillover and Demand Shock Effect of the IPOs on the Stock Price of the Competitors: Evidence From the Korean Stock Market

2020 ◽  
Vol 11 (5) ◽  
pp. 1
Author(s):  
Jae Hoon Min
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Information Transfer ◽  
Share Price ◽  
Korean Stock Market ◽  
Before And After ◽  
Information Spillover ◽  
Public Offering ◽  
The Impact

This paper examines the impact of IPOs on the stock prices of competing companies in the same industry in the Korean stock market. By observing the stock price responses of competitors at the time of IPO announcement and listing, this study attempts to separately examine the effect of IPO's information transfer and its impact on the stock demand of competitors. Before and after the IPO announcement, the stock prices of competitors did not change significantly. On the other hand, during the period surrounding the IPO stock listing, the stock price of competitors showed a significantly negative decline. This suggests that as the IPO stock related information was revealed through the public offering process, it negatively affected the stock price of competing companies. Also, the listing of IPO stocks seems to have adversely affected the stock demand for competing companies. In particular, among the effects of information transfer, the competitive effect is overwhelming, and the factors that influence relative competitiveness in the industry between competitors and an IPO company, such as operating profitability and R&D investment, are found to have a substantial influence on the share price of competitors.

The Impact of Program Trading on the Short-run and Long-run Volatility of Korean Stock Market

2007 ◽  
Vol 15 (1) ◽  
pp. 101-133
Author(s):  
Sang Buhm Hahn ◽  
Seung Hyun Oh
Keyword(s):  
Stock Market ◽  
Main Channel ◽  
Market Volatility ◽  
Bad News ◽  
Market Stability ◽  
Long Run ◽  
Korean Stock Market ◽  
Short Run ◽  
Asymmetric Responses ◽  
The Impact

This study investigates the impact of program trading on the market volatility by separating the volatility into long-run and short-run components using VA-CEGARCH model. This approach allows us to observe the two channels through which the program trading affects the market volatility. We have following results. Program trading and non-program trading both have no impact on the long-run component but do increase short-run component. In case of short-run component‘ program trading has a larger impact compared to non-program trading. Secondly, in both daily and intra-day analysis, arbitrage program trading is found to have a larger impact on short-run components than non-arbitrage program trading. Thirdly, ARCH effects are found in short-run components of daily analysis and long-run components of intra-day analysis. And the volatility’s asymmetric responses to good or bad news are introduced through long-run components. What is noteworthy is the fact that non-arbitrage program trading is actually found to reduce short-run volatility in the intra-day analysis. Which means that non-arbitrage program trading, such as hedging transactions, helps promote intra-day market stability. Our findings mean that the short-run component is the main channel by which program trading produce unnecessary market volatility.

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