scholarly journals The effect of short-term return reversals on momentum profits

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Myounghwa Sim ◽  
Hee-Eun Kim
Keyword(s):  
Stock Market ◽  
Term Structure ◽  
Stock Return ◽  
Short Term ◽  
Past Performance ◽  
Momentum Profits ◽  
Korean Stock Market ◽  
Return Reversal ◽  
Return Reversals

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.

Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

2015 ◽  
Vol 23 (4) ◽  
pp. 543-569
Author(s):  
Jun Ho Hwang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Abnormal Returns ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Price Limit ◽  
Holding Period ◽  
Momentum Profits ◽  
Korean Stock Market

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

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.

Market Liquidity and Momentum Profits : Evidence from the Korean Stock Market

2018 ◽  
Vol 26 (4) ◽  
pp. 497-524
Author(s):  
Changha Kim ◽  
Changjun Lee
Keyword(s):  
Stock Market ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Full Sample ◽  
Momentum Profits ◽  
Significant Difference ◽  
Korean Stock Market ◽  
The Difference

Previous literature in the Korean stock market has shown that the momentum effect is not observed during pre-2000 period while it is observed during post-2000 period. Given that market illiquidity has substantially decreased during post-2000 period, we examine whether the level of market illiquidity affect the momentum profits. The central findings are summarized as follows. First, our full-sample analysis shows that market liquidity is positively associated with momentum profits, meaning that the observed momentum effect during post-2000 period is related to the decrease in market illiquidity. Second, during pre-2000 period, when the market illiquidity is very high, the illiquidity of past losers is extremely high compared to that of past winners. However, there is no significant difference in illiquidity between winners and losers during post-2000 period. Third, based on this result, we conjecture that the momentum effect is related to the different compensation for liquidity risk between past losers and winners, and test whether this is indeed the case. We find significant momentum profits over the whole period when we consider the compensation for the liquidity risk of past losers and winners. In addition, during pre-2000 period, the return on momentum strategy that controls the liquidity risk is substantially higher than the actually observed momentum profits. In sum, our study suggests that the difference in compensation for liquidity risk between past losers and winners is very important in understanding the momentum effect in the Korean stock market.

STOCK MARKET DIFFERENCES IN CORRELATION-BASED WEIGHTED NETWORK

2011 ◽  
Vol 22 (11) ◽  
pp. 1227-1245 ◽  
Author(s):  
JANGHYUK YOUN ◽  
JUNGHOON LEE ◽  
WOOJIN CHANG
Keyword(s):  
Information Technology ◽  
Regression Analysis ◽  
Stock Market ◽  
Stock Return ◽  
Market Volatility ◽  
Weighted Network ◽  
Korean Stock Market ◽  
Industry Sectors ◽  
Major Industry ◽  
Weighted Network Analysis

We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the average, the variance, the intensity, and the coherence of network weights (absolute values of stock return correlations) to investigate the network structure of Korean stock market. We performed regression analysis using the four measures in the seven major industry sectors and the market (seven sectors combined). We found that the average, the intensity, and the coherence of sector (subnetwork) weights increase as market becomes volatile. Except for the "Financials" sector, the variance of sector weights also grows as market volatility increases. Based on the four measures, we can categorize "Financials," "Information Technology" and "Industrials" sectors into one group, and "Materials" and "Consumer Discretionary" sectors into another group. We investigated the distributions of intrasector and intersector weights for each sector and found the differences in "Financials" sector are most distinct.

scholarly journals Behaviour of Stock Returns During COVID-19 Pandemic: Evidence from Six Selected Stock Market in the World

2020 ◽  
Vol 9 (3) ◽  
pp. 247-263
Author(s):  
Helma Malini
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Short Term ◽  
Model Assumption ◽  
Health Crisis ◽  
The Public ◽  
Public Health Crisis ◽  
Return Behavior ◽  
The World

This paper investigates the short term return behavior of six selected stock market around the world during the COVID-19 Pandemic. USA, Indonesia, India, South Korea, Saudi Arabia, and Singapore are selected based on the size of their stock market and the countries have taken a considerable amount of decision and policy to mitigate the risk of before, ongoing, and aftermath COVID-19 Pandemic. This study relies on two major time series investigation techniques, namely Econometric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling, namely the GARCH and WBAVR Test. The results suggest that the stock return behavior in six selected countries occurs in different forms. Our findings suggest that the policymakers must understand how to shift their policy to mitigate the risk of COVID-19 in the financial sector, since we observe a strong correlation between the public health crisis and stock market performances.

The Effect of Operation and Market Value Efficiency on the Korean Stock Market

2015 ◽  
Vol 23 (1) ◽  
pp. 29-40 ◽  
Author(s):  
Soo-Hyun Kim
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Market Value ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Efficiency Measures ◽  
Korean Stock Market ◽  
Low Efficiency ◽  
Using Data

This paper investigates the relationship between output to input efficiency and stock return predictability in the Korean stock market. We measure the efficiency using Data Envelopment Analysis with independent outputs of sales and market value data. Sales efficiency measures the operational efficiency whereas market value efficiency measures the efficiency evaluated by the investors. Through our empirical analysis, it is found that low efficiency stocks in either measures tend to have higher future returns. However, if both efficiency measures are employed at the same time there exists a strong tendency that high operation efficient and low market value efficient stocks generate larger future returns. We find that DEA analysis for efficiency can process a cross-sectional stock return predictability in the Korean stock market.

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