• The Korean Journal of Financial Management
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• v.27 no.2
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• pp.145-167
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• 2010

We investigate the dynamic relationship between stock returns and investors' behavior. For the putpose of the paper, daily KOSPI returns are decomposed into two parts: overnight returns and daytime returns. Overnight return is measured by the closing price of the previous day and the opening price of the current day. And daytime return is measured by the opening and closing prices of the current day. Qvernight returns are assumed to reflect global economic information, and daytime returns, domestic or local information. Major results are as follows: Foreign investors' behavior has an effect on the overnight returns more than the daytime returns. Individual investors' behavior, however, has little effect on the overnight returns, but not the daytime returns. Consequently, forecast error variance decomposition shows that the variance explanation power of foreign investors is higher in overnight returns rather than in the daytime returns. And the variance explanation power of individual investors is higher in daytime returns rather than in overnight returns. It implies that foreign investors employ dynamic hedging strategies and give more weight to global economic information rather than to domestic information. We conclude that investment behavior of foreign investors and domestic individuals is based on different economic information. This paper's findings are consistent with the economic situation that the Korean capital markets have faced since the global financial crisis of August 2008.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.163-190
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• 2003

This study tests the hypothesis of market efficiency through the information spillover effects over price and volatility across countries by using open-to-close(daytime) returns and close-to-open(overnight) returns of NASDAQ, KOSDAQ and JASDAQ data from January 3, 1997 to December 21, 2000. Based on Granger-causality and time-varying AR(1)-GARCH(1, 1)-M models we document that the evidence of statistically significant conditional mean and volatility spillovers effects from the daytime returns and volatility of NASDAQ to the overnight returns and volatility of KOSDAQ is observed both before and after the IMF foreign currency crisis but not to the close-to-open return before the IMF foreign currency crisis. We can understand the information spillover effect from NASDAQ to KOSDAQ on the overnight rather than the daytime grows more significantly after the IMF foreign currency crisis. We also find the interactive information spillover effect between NASDAQ and JASDAQ both before and after the IMF financial crisis, in particular, to close-to-open return. In addition, the market efficiency between KOSDAQ and NASDAQ is on an increasing trend through IMF foreign currency crisis.

• The Korean Journal of Financial Management
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• v.15 no.1
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• pp.73-94
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• 1998

This paper contributes to the ongoing controversy over price and volatility spillovers across countries by providing new evidence with the futures data of the S&P 500 and Nikkei 225 index futures contacts from January 3, 1990 to April 16, 1996. Based on the two-stage symmetric and asymmetric GARCH models we document that both the U.S. and the Japanese daytime returns significantly influence the subsequent overnight returns of the other market. We find no signs of volatility spillovers between two international markets with the symmetric model. However, with the asymmetric models, we find that the magnitude of foreign negative shocks are different from the positive ones. The findings generally suggest that the two markets are more sensitive to the bad news originating in the other market. This nature of transmission between two markets would have important implications to the arbitragers who are trying to exploit the short-term dynamics of price and volatility movements across two security markets.

• The Bulletin of The Korean Astronomical Society
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• v.37 no.2
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• pp.102.1-102.1
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• 2012

In this paper, we analyzed Korean historical records of the periodic comet Halley in three periods (Three Kingdoms, the Goryeo dynasty, and the Joseon dynasty) using various sources such as Samguksagi (History of the Three Kingdoms), Goryeosa (History of the Goryeo Dynasty), and Joseonwangjosillok (Annals of the Joseon Dynasty). To determine the apparition time of the comet at each return, we referred to the works of Kronk. For the Three Kingdoms period, we could not find any record relevant to Halley's comet from Samguksagi. Instead, we examined the suggestion that the phenomenon two Suns appearing on April 1, 760 (in a luni-solar calendar), which is recorded in Samgukyusa (Renaissance of the Three Kingdoms), indicates an appearance of comet Halley during the daytime. In contrast, we found that all the returns of Halley's comet during the Goryeo dynasty are recorded, although some accounts are questioned. In addition, we found that the appearance of Halley's comet in 1145 is also mentioned in a spirit-path stele made in 1178. For the Joseon dynasty period, we found that all the returns of the comet are recorded, as with the Goryeo dynasty, except for the return of 1910, in which the former dynasty fell. In conclusion, we think that this study will be helpful for understanding Korean historical accounts of Halley's comet.

• Journal of Information Technology Applications and Management
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• v.17 no.3
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• pp.151-162
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• 2010

Recent developments in financial market liberalization and information technology are accelerating the interdependence of national stock markets. This study explores the information spillover effect of the US stock market on the overnight and daytime returns of the Korean stock market. We develop a profitable intra-day trading strategy based on the information spillover effect. Our study provides several important conclusions. First, an information spillover effect still exists from the overnight US stock market to the current Korean stock market. Second, Korean investors overreact to both good and bad news overnight from the US. Therefore, there are significant price reversals in the KOSPI 200 index futures prices from market open to market close. Third, the overreaction effect is different between weekdays and weekends. Finally, the suggested intra-day trading system based on the documented overreaction hypothesis is profitable.

• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.171-187
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• 2006

This paper investigates the pricing information transmission between NYSE listed Chinese ADRs and their underlying shares by using GJR. The data in this study consist of daytime and overnight returns on 7 chinese stocks End their ADRs on the NYSE for the period from December 2002 to december 2005. We have round that the home market leadership hypothesis can be applied to the Chinese stocks. We have also found that return spillover effect is stronger than volatility spillover effect.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.85-98
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• 2016

This study makes an empirical comparison of various realized volatilities (RVs) in terms of overnight returns. In financial asset markets, during overnight or holidays, no or few trading data are available causing a difficulty in computing RVs for a whole span of a day. A review will be made on several RVs reflecting overnight return variations. The comparison is made for forecast accuracies of several RVs for some financial assets: the US S&P500 index, the US NASDAQ index, the KOSPI (Korean Stock Price Index), and the foreign exchange rate of the Korea won relative to the US dollar. The RV of a day is compared with the square of the next day log-return, which is a proxy for the integrated volatility of the day. The comparison is made by investigating the Mean Absolute Error (MAE) and the Root Mean Square Error (RMSE). Statistical inference of MAE and RMSE is made by applying the model confidence set (MCS) approach and the Diebold-Mariano test. For the three index data, a specific RV emerges as the best one, which addresses overnight return variations by inflating daytime RV.

• Management & Information Systems Review
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• v.31 no.4
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• pp.593-609
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• 2012

This study is designed to investigate whether the information spillover effect is existed between the foreign investors' unexpected volatility of net purchasing intensity and the volatilities of returns in terms of daily closing stock return, overnight return, and daytime return, before and after financial crisis in Korea. The result of this study shows that there is negative information spillover effect between the foreign investors' unexpected volatility of net purchasing intensity and the volatility of daily closing stock return for time t-1. However, there is an opposite result for time t, showing positive information transmission effect. For the overnight return, the test result provides there is no statistical significance between the foreign investor's unexpected volatility of net purchasing intensity and the volatilities of return. In addition, I found that the information transmission effect is existed between the foreign investor's unexpected volatility of net purchasing intensity and the volatilities of the daytime return for the entire timeline.

• Journal of Astronomy and Space Sciences
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• v.31 no.3
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• pp.215-223
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• 2014

In this paper, we report the analysis of Korean historical records on the periodic Halley's comet according to the period (i.e., the Three Kingdoms, Goryeo Dynasty, and Joseon Dynasty) using various sources such as the Samguksagi (The History of the Three Kingdoms), Goryeosa (The History of the Goryeo Dynasty), and Joseonwangjosillok (The Annals of the Joseon Dynasty). With regards to the apparition time of the comet for each return, we referred to the works of Kronk. For the Three Kingdoms period, we could not find any record relevant to Halley's comet from the Samguksagi. Furthermore, we examined the suggestion that the phenomenon of "two Suns" which appeared on April 1, 760 (in a luni-solar calendar), as recorded in the Samgukyusa (The Legends and History of the Three Kingdoms), indicates an instance of the the daytime appearance of Halley's comet. In contrast with the Three Kingdoms period, we found that all returns of Halley's comet are recorded during the Goryeo Dynasty, although others have questioned some accounts. We also found that the appearance of Halley's comet in 1145 is mentioned in a spirit-path stele made in 1178. For the Joseon Dynasty period, we found that all apparitions of the comet are recorded, as with the Goryeo Dynasty, except for the return of 1910, at which time the former dynasty had fallen. In conclusion, we think that this study will be helpful for understanding Korean historical accounts on Halley's comet.