고차 적률을 이용한 주야간 수익률 분석

Abstract

The market anomalies are one of the main topics in empirical asset pricing area. Higher moments of returns such as volatility, skewness and kurtosis are widely used measures for the market anomalies since these statistics are well known for capturing investors’ bias or preferences. On the other hand, some of the prior research argues that market anomalies mainly occur during daytime, which implies traditional asset pricing theory still works despite of the anomalies. This is because investors reaction to the information has to be reflected to the price via trading activities. In this paper, we decompose daily returns into daytime and overnight returns to explain market anomalies. Firstly, we confirm that volatility anomalies exist in the Korean stock market, i.e, higher volatility stocks tend to show lower daytime returns and higher overnight returns. Secondly, similar patterns are observed in case of skewness and kurtosis. By analyzing the daytime and overnight returns separately, it can lead to implications that investors