• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.91-131
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• 2007

In the paper, the effects of sidecar on index arbitrage trading and non-index arbitrage trading in the Korean stock market are examined. The analyses of return, volatility, and liquidity dynamics illustrate that there are no distinct differences for index arbitrage group and non-index arbitrage group surrounding the sidecar events. For further analysis, we construct pseudo-sidecar sample and analyse the effects of the actual sidecar and pseudo-sidecar on arbitrage sample and non-index arbitrage sample. The result of analysis using pseudo-sidecar shows that the differences between index arbitrage group and non-index arbitrage group are larger in pseudo-sidecar sample than in actual sidecar sample. This means that former results can be explained by temporary order clustering in one side before and after the event. Sidecar has little effect on non-index arbitrage group, however, it has relatively large effect on arbitrage group. These results imply that it needs to redesign the sidecar system of the Korean stock market which applies for all program trading including arbitrage and non-index arbitrage trading.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.65-101
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• 2009

The effects of program trading halts system (sidecar) on information asymmetry of program trading stocks, index arbitrage stocks, and non-index arbitrage stocks in the Korean stock market are examined. Effective spread and number of program trade of each stock are used as proxy variables for information asymmetry. The main results are as follows; Firstly, we find that effective spreads of program trading stocks in the post-halt period decrease significantly following the halt period. This means that sidecar has the effect of reducing information asymmetry in the Korean stock market. Secondly, the mitigation effect of information asymmetry of program trading stocks works only in buy-program trading stocks, but not in sell-program trading stocks. Thirdly, the results show that there are no distinct differences for index arbitrage group and non-index arbitrage group surrounding the sidecar events. In other words, program trading halts system has a mitigating effect of information asymmetry in not only index arbitrage trading stocks but also non-index arbitrage stocks. Fourthly, this mitigation effect works only in buy-sample not in sell-sample like in program trading stocks. And lastly, the analyses result of number of program trade shows that number of program trade of almost of sample stocks increases after the sidecar events. This implies that the information asymmetry is not fully resolved during the halt period and the effect of news inducing sidecar is continuing after the event.

• Management & Information Systems Review
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• v.35 no.3
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• pp.195-212
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• 2016

Utilizing intra-day volume weighted average price (VWAP) based on 1 minute return data of stocks traded on the Korean Stock Exchange, this paper examines and analyzes abnormal returns in reaction to patent listing disclosures as well as the cumulative abnormal returns, traded volumes, the interaction of VWAP spreads, the reaction of volumes, the reaction of VWAP spreads and the realized returns obtained from trading using an event driven arbitrage strategy. The results of the aforementioned research topics are follows. First, our analysis suggests that on average, 0.92% positive cumulative returns arise 1 minute after the patent listing disclosure announcement with high statistical significance, thereby reconfirming that the Korean stock market is a semi-strong form of the efficient market. Employing 3 separate panel tests differentiated by the size factor, we find that the abnormal returns of small sized stocks were less than the returns of medium sized stocks, which goes to support recent research findings suggesting that the size premium is no longer existent in the Korean stock market. Secondly, we show that among the event driven type strategies, the most outstanding realized returns are from the market making strategies. Furthermore, placing market order trades only at the bid or ask price resulted in negative returns. This implies that strategies utilizing a combination of market orders and limit orders, order cancelations ratios and order flows can enhance realized returns.

• Management & Information Systems Review
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• v.34 no.5
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• pp.23-47
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• 2015

In the Korea stock market, individual investors have perceived stock as short arbitrage investment, not long-term investment strategy. In order to reinforce stock market transparency and soundness, it is important to enforce the measures for stock market management. Especially, stock market event caused by financial policy can be given individual investors negative information regarding a stock trading. Thus, it is a need for investigating whether comprehensive review of listing eligibility is influenced on individual investors' responses and stock behaviors in respect of effectiveness. The purpose of this study to examine the relations between such stock market management and transitional aspect of individual investors' trading types and response on the based of pre- and post-event occurrence. Using an dataset of user's text messages on 9 firms posted on the firm-based social media (i.e., Naver, Daum, Paxnet) over the period 2009 to 2014. And we performed text-clustering and topic modeling according to keywords for classifying into investors group and non-investors groups and two types of investors were categorized depending on main topic transition by event windows in Comprehensive review of listing eligibility. The results indicated that a variety of stockholders existed in the stock. And the ratio of non-investors group was on the decrease, on the other hand, the proportion of investors group veer onto the side of pre-pattern after comprehensive review of listing eligibility. A distinctive feature of our study is to explain the influence of stock market management on response changes of individual investors as well as to categorize in accordance with time progression. Implications an suggestions for future research were also discussed.