Korea Stock Market Research Articles

재무정보와 시장효율성에 관한 연구

본 연구는 유가증권시장의 제조업을 대상으로 재무정보의 효율성이 기업가치에 미치는 영향에 대해 정보가 반영되는 시기를 중심으로 검증하고자 하였다. 이를 위해 재무제표 공시를 기준으로 분석기간을 당해(t)년도, 재무제표 공시 전 90일, 차기년도(t+1)로 구분하였다. 실증분석에 사용된 재무변수는 수익성, 성장성, 안정성, 활동성 및 시장가치 비율이며 재무정보가 분석기간 동안의 주식수익률에 미치는 영향을 단계적 회귀분석(stepwise regression)을 이용해 검증하였다. 실증분석 결과, 성장성과 수익성에 관한 정보는 당기의 주식수익률에 반영되는데 비해 안정성과 활동성에 관한 정보는 차기의 주식수익률에 정보를 반영하고 있는 것으로 나타났다. 총자산증가율은 당기 및 차기의 주식수익률에 부(-)의 유의적인 영향을 주는 것으로 나타났으며, 이는 재무정보가 산출된 동기간에 정보가 반영될 뿐만 아니라 차기에도 지속적으로 정보를 반영하는 것으로 판단된다. 본 연구는 재무정보의 성격에 따라 기업가치에 반영되는 시기가 달라지는 것을 발견하였다. This study examines information efficiency of financial information on the firm value for the listed manufacturing companies in Korea stock market in terms of timing pattern of information. We set 3 different test periods based on the financial statement released years - the current year, 90 days before financial statement announcement and the next year. We introduce using the stepwise regression method to examine the effect of financial variables on the stock returns. The financial variables include profitability ratio, growth ratio, stability ratio, activity ratio and market valuation ratio. The results of the study showed that both growth and profitability ratio affected the current year stock returns, while stability and activity ratio affected the next year stock returns. Growth rate of total asset affects both current year and next year stock returns. Our findings imply that the period in which financial information is reflected in the firm value, could vary with the characteristics of financial information.

Innovative Efficiency and Insider Trading: Korea Evidence

This paper investigates whether corporate insiders earn excess profits by using private information unknown to outside investors or by trading their own firms’ stock based on contrarian belief. Examining insider trades in the Korea stock market from 2005 to 2014, I document that both the use of private information and insiders’ contrarian investment strategy have effect on insider trading. This implies that insiders time the market with contrarian investment strategy and at the same time exploit private information to earn abnormal returns. I also find the asymmetric effect of insider trading. Insiders trade shares more heavily when they possess good news about future firm value or feel that their companies are undervalued than when they possess bad news or feel that their companies are overvalued. Providing new evidence that insider trading profits are affected by both the use of private information and contrarian investment strategy, I suggest that regulators should consider both factors in the regulation of insider trading.

정보보안사고가 투자주체별 투자성과에 미치는 영향: 개인정보유출사고 중심으로

As IT environment has changed, paths of information security in financial environment which is based on IT have become more diverse and damage caused by information leakage has been more serious. Among security incidents, personal information leakage incident is liable to give the greatest damage. Personal information leakage incident is more serious than any other types of information leakage incidents in that it may lead to secondary damage. The purpose of this study is to find how much personal information leakage incident influences corporate value by analyzing 21 cases of personal information leakage incident for the last 15 years 1,899 listing firm through case research method and inferring investors` response of to personal information leakage incident surveying a change in transaction before and after personal information leakage incident. This study made a quantitative analysis of what influence personal information leakage incident has on outcome of investment by types of investors by classifying types of investors into foreign investors, private investors and institutional investors. This study is significant in that it helps improve awareness of importance of personal information security by providing data that personal information leakage incident can have a significant influence on outcome of investment as well as corporate value in Korea stock market.

The Effect of Arbitrage Asymmetry on the Idiosyncratic Volatility Puzzle: Korea Stock Market

The Effect of Arbitrage Asymmetry on the Idiosyncratic Volatility Puzzle: Korea Stock Market

글로벌 주식시장의 동조화 현상과 상관관계 분석

본 연구의 목적은 한국 주식시장을 비롯하여 주변국 시장들과의 상관관계와 동조화 현상을 살펴보는데 있다. 이를 위해 한국 주식시장에 영향을 미칠 것으로 예상되는 미국, 중국, 일본과 유럽을 대표하여 독일을 선정하여 지난 151개월 동안의 자료를 분석하였다. 상관분석 결과 한국시장은 독일 및 미국과 높은 상관관계를 보여 동조화 현상이 나타났으나 일본과는 낮은 상관관계를 보여주었다. 미국시장은 독일과 매우 높은 상관관계를 보인 반면 중국과는 낮은 관계가 나타났다. 중국시장은 미국 및 일본과 상관관계가 낮아 이들 시장에 영향을 받지 않는 독자적인 시장으로 판단되었다. 일본시장은 아시아시장보다는 독일과 미국에 더 많은 영향을 받고 있으며, 독일시장은 아시아시장의 영향을 받아서 미국시장에 영향을 주는 것으로 분석되었다. The purpose of this study, including the Korea stock market and neighboring countries markets is seeing a look at the correlation and synchronization phenomenon. For this purpose, which is expected to have an impact on Korea's stock market, selection the United States and China, Japan, Germany on behalf of the European analyzed the data of the last 151 months. Any analysis, Korea market appeared to show a high correlation with the synchronization phenomenon in Germany and the United States. However Korea and Japan exhibited a low correlation. While the US market showed a very high correlation with Germany but showed a low correlation with China. China has been judged by the proprietary market due to a low correlation with the United States and Japan. The Japanese market has been more affected in Germany and the United States than Asian markets. German market is analyzed to influence the US market under the influence of the Asian market.

An Empirical Assessment of Profitability and Value Premiums in Korea Stock Market

An Empirical Assessment of Profitability and Value Premiums in Korea Stock Market

Stock Market Reaction to Corporate Crime: Evidence from South Korea

This paper examines the impact of corporate crime on the stock market in South Korea. Specifically, we examine the effect of crime type (white-collar vs. street crime, operational vs. financial), industry type (financial vs. industrial), business group affiliation (chaebol-affiliated vs. non-chaebol-affiliated), and corporate governance (strong vs. weak board structure index) on the relationship between corporate crime announcement and stock market reaction. We find negative reactions to stock prices around the announcements of corporate crimes but no significant difference in reactions between announcements of individual and organizational crimes. Individual white-collar crimes have a stronger negative impact on stock prices than do individual street crimes on average, while financial crimes have a significantly greater negative impact than do operational crimes in organizations. Moreover, financial sector firms are impacted more significantly by the announcement of corporate crimes than are non-financial firms. In addition, the stock prices of chaebol-affiliated firms decrease less than do those of non-chaebol-affiliated firms, and those with a higher board committee subindex seem to be influenced less by news of corporate crimes if the size control variable is excluded. Multivariate cross-sectional analyses show consistent findings after controlling for firm-specific factors, crime-type effect, and industry and year effects. The results of this study provide valuable insights because it covers several types of corporate crime, including those committed by individuals and those perpetrated by firms.

On the issue of currency internationalisation - South Korean won

With the increase in trading volume and market volatility in the global currency markets for the past decade, the Korean foreign exchange market has been experiencing significant fluctuations, adding to the instability of the overall financial market. A major contributing factor behind the volatile value of won, Korea's currency, is the government regulation that prohibits won–denominated fund transfers between non–residents, thus preventing an offshore won market from developing. This paper proposes that offshore won trades be permitted as a first step towards the internationalisation of won. Given the size of Korea's economy, stock market, and competiveness and scale of the non–financial industrial sectors, further liberalisation measures of the Korean financial market including permitting an offshore won market will contribute to a more liquid and stable currency market, and thus the overall stability of the financial market.

Examining the effects of information sources on individual earning rates in the South Korean stock market

Since the introduction of the Korea Stock Exchange, individual investors have been some of the most important players in the stock market. With the subsequent introduction of the Internet and online trading systems in South Korea in 1997, the participation of individual investors in the Korean stock market has greatly expanded. However, few studies have investigated their activities and earning rates. To address this research shortcoming, this study investigates the antecedents of individual investors’ earning rates in the Korea stock market by employing multiple constructs of information channels and perceived usefulness. Structural equation modelling (SEM) analysis of survey data collected from 1555 individual investors reveals that the information quality of online trading systems and of companies’ public announcements largely determines the individual investors’ perceptions of their usefulness, whereas the information quality of two Internet channels (Internet news and other web pages) only moderately affects perceived usefulness. Additionally, the information quality of two TV channels significantly affects perceived usefulness, but the effects are weaker than for the other channels. In addition, our findings confirm a close relationship between the perceived usefulness of information and individual investors’ earning rates. Last, we discuss the implications and present suggestions for future research.

An Empirical Study of Pension-Fund Investor's Trading Behavior in the Korea Stock Market

An Empirical Study of Pension-Fund Investor's Trading Behavior in the Korea Stock Market

Stock Market and Social Mood : Evidence from Korea

This study provides empirical evidence on the existence of a mood effect in Korea Stock Market. Given the assumptions that changes in the Consumer Expectation Index and the numbers of suicides proxy for the social mood, I find that the aggregate stock market moves with the changes of investor sentiment, on average. The relation between the KOSPI and mood variables representing for investor sentiment is economically and statistically significant. For example, a 10% increase of the CEI relative to the previous month leads to a 14.7% rise of the KOSPI. The magnitude of the mood effect is even larger on the small cap stocks, especially in the KOSDAQ market. The contemporaneous changes in the KOSPI affected by the changes of investor sentiment are mostly reversed in the next month, suggesting that the mood effect is short-lived and seems to be unrelated to the fundamental information.

An Event Study on the Effects of North Korea Risks on South Korea‘s Stock Market

There have always been North Korea Risks in South Korea stock market since its opening. Some studies have concluded that it does not have a substantial impact on South Korea’s economy due to chronic geopolitical risks, while others have argued it has had an impact. However, in light of the Efficient Market Hypothesis (EMH) it can be argued that both opinions view that information about North Korea Risks affects stock markets and that stock prices react to it. This study analyzed the effects of North Korea Risks on South Korea’s stock market using event study methodology empirically, and it tested the semi-strong EMH-a market in which prices always fully reflect available information. The research results are following: First of all, North Korea Risks have an impact on South Korea’s stock market and the data was statistically significant. In particular, stock market already reflected information about the forewarned events like nuclear test. However, market also responded to information about sudden events such as the impact of Kim Jung-il’s death on the South-North economic cooperation stock. Portfolio analysis demonstrated that small capital stocks were affected more than large caps. These results cannot reject the EMH. Also, estimates of market model and that of Fama-French three-factor model did not show a statistically significant difference in different verification. There was no statistically significant difference between growth and value stock in large caps portfolio either. However, there was a statistically significant difference between defense stock and South-North economic cooperation stock, small caps and big caps, and weighted average and simple average. The significance of this study lies in that it conducted the event study by variety estimation model with objective standards for selecting events when measuring the effect of North Korea Risks.

Are Individual Investors Uninformed? Evidence from Trading Behaviors by Heterogeneous Investors around Unfaithful Corporate Disclosure

AbstractThis paper examines the trading behaviors of individual investors as well as domestic and foreign institutional investors around a unique corporate event: unfaithful disclosure (non‐disclosure, canceling disclosure and changing disclosure of a firm's material information). Our study relied on the daily trading data of different groups of investors in Korea's stock market. We found that the market reacts negatively toward announcements on forewarnings of unfaithful disclosure by the Korea Exchange as well as toward the confirmation of the forewarnings. Further, our finding indicates that firms that are proved to be responsible for the unfaithful disclosure tend to perform poorly prior to the announcement days of the forewarnings. This implies that poor‐performing firms are likely to have negative information and thus, have incentives not to disclose or not to correctly disclose bad news. In addition, our result demonstrates that firms performing poorly before receiving the forewarnings subsequently perform poorly after confirmation of the unfaithful disclosure, which is consistent with the incentives of unfaithful disclosure. Most importantly, we found that individual investors constantly buy shares of firms receiving the forewarnings prior to the announcements, whereas both domestic and foreign institutional investors sell them. Even after the confirmation of unfaithful disclosure, individual investors continue to buy shares of unfaithful firms and domestic and foreign institutional investors continue to sell them. Because institutional investors are considered to be better informed and/or more sophisticated investors than individual investors, this finding adds to the evidence of information asymmetry among different types of investors prior to the news release as well as to the evidence of trading behaviors by individual investors who are unsophisticatedly following the news release.

증권시장 흐름과 투자 집단 간의 투자 포지션

우리나라 유가증권시장의 추세 흐름과 투자자들의 투자 포지션의 관계를 중심으로 투자자들의 거래가 어떠한 특징을 갖는지를 실증적으로 분석하였다. 연구 대상 기간은 2004년 1월부터 2011년 12월까지 8년간인 총 96개월의 1,991일간이다. 분석에 사용된 자료는 한국종합주가지수(KOSPI)와 각 거래집단의 총매수량과 매도량, 매수대금과 매도대금 등이다. 매월 말과 매일 종가 두 자료를 이용하여, 각 집단 간의 상관관계를 검정하고 회귀분석을 하였다. 본 연구는 시장을 장기적인 관점에서 국면을 세분화하여 각 투자집단의 투자 포지션을 검정하였다. 외국인들과 기관들은 주로 고가 종목에 대한 거래에 집중되었다는 것을 알 수 있었다. 그리고 국면을 좀 더 세분화하여 검정한 결과 외국인 투자자들은 기관들과는 달리 상승3기에 지수가 상승할 경우 증시에서 빠져나가는 현상을 볼 수 있었다. 하락 말기에 개인들은 매도를 증가시키고 있다는 것을 알 수 있었다. 일반적으로 개인들은 시장의 흐름과 역행하면서, 외국인 투자자들의 상대방이 되어 반대 포지션을 선택하고 있다고 할 수 있을 것 같다. In this paper, characteristics of transactions by investors were examined based on the relationship between South Korea's stock market trends and the amount of net purchasing by investors. The study period is from January of 2004 to December of 2011, a total 1,991 days on 96 months. Data used for correlation and regression analysis include the value of the KOSPI index at the end of each month, the monthly net purchase amount of each of the groups, as well the daily volume, the daily price. In this study, the long-term phase of the market divided by refining. and each of the investment position of invest group was investigated. As a result, foreign investors are a net selling position when market was rising phase of the tertiary. And private investors were a net short positions when the market was decline phase of the tertiary. Regardless of the flow changes, the private investors had opposite position to the flow of the mark, also they had opposite position to the position of the foreign investors.

A Synchronization Analysis of Korea Stock Market on East-Asia and G5 Stock Markets

A Synchronization Analysis of Korea Stock Market on East-Asia and G5 Stock Markets

The Impact of Attention Effect on the Buying Behavior of Investors in the Korea Stock Market

The Impact of Attention Effect on the Buying Behavior of Investors in the Korea Stock Market

Stock Market Regulation in South Korea

An overview of stock market in South Korea. This paper attempts to consolidate the capital market regulatory regime in South Korea. It gives an overview of the regulatory bodies and laws in the country. It also traces the history of economic development of this Asian powerhouse in brief.

A Study on the Financing Behavior and Adjustment Speed of Capital Structure under Information Asymmetry in the Korea Stock Market

A Study on the Financing Behavior and Adjustment Speed of Capital Structure under Information Asymmetry in the Korea Stock Market

Impact of the U.S. Stock Market Information on the Korea Stock Market Volatility Forecasting - An Evidence of Progress in the Information Technologies Application

Impact of the U.S. Stock Market Information on the Korea Stock Market Volatility Forecasting - An Evidence of Progress in the Information Technologies Application

Price Discovery and Transmission of Information among Korea Stock Market and Green Finance Markets

Price Discovery and Transmission of Information among Korea Stock Market and Green Finance Markets