• 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.

• International Area Studies Review
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• v.13 no.3
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• pp.527-549
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• 2009

This paper investigates the relation of invert U-shape between the M/B ratio and leverage ratio by market, firm size, and a level of technology of firm. Our sample consists of 510 manufacturing firms continually listed on the Korea Securities Market and Kosdaq Market from January 1, 2001 to December 31, 2008. The total sample consists of the Korea Securities Market(large firms, high technology industry) sample of 2,248(1,816, 1,704) observations and the Kosdaq Market(small and medium firms, high technology industry) sample of 1,632(2,264, 2,376) observations. The empirical results show that the relation of invert U shape appears on the sample of the Kosdaq Market, small and medium firms, and high technology industry. However, the relation doesn't appear on the sample of the Korea Securities Market, large firms, and low technology industry. These mutually different results may be caused by the relatively low M/B ratio of the latter.

• Journal of Korea Multimedia Society
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• v.24 no.3
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• pp.448-459
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• 2021

In this paper, we propose a method of predicting the next-day stock price fluctuations of 10 KOSDAQ-listed companies in 5G, autonomous driving, and electricity sectors by training SVM, XGBoost, and LightGBM models from macroeconomic·financial market indicators, technical indicators, social interest indicators, and daily positive indices extracted from online news. In the three experiments to find out the usefulness of social interest indicators and daily positive indices, the average accuracy improved when each indicator and index was added to the models. In addition, when feature selection was performed to analyze the superiority of the extracted features, the average importance ranking of the social interest indicator and daily positive index was 5.45 and 1.08, respectively, it showed higher importance than the macroeconomic financial market indicators and technical indicators. With the results of these experiments, we confirmed the effectiveness of the social interest indicators as alternative data and the daily positive index for predicting stock price fluctuation.

• Asia-Pacific Journal of Business
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• v.13 no.1
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• pp.247-262
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• 2022

Purpose - The purpose of this study is to examine the impact of the Pandamic Declaration on 'untact firms' listed in KOSPI and KOSDAQ market in order to verify Investor Mania Hypothesis. Design/methodology/approach - This study collected financial data for 44 untact firms in KOSPI and KOSDAQ market. Then, we employed ESM(Event Study Methodology), EGARCH model and DID(Difference-In-Difference) for analysis. Findings - First, in contrast with the benchmarking index, KOSPI 200 which shows a negative (-) abnormal return trend, the untact firms have positive abnormal return trend consistently. Second, after the Pandemic Declaration, the variability of abnormal return for the untact firms is found to be significantly positive. Third, we find that the cumulative abnormal return and volatility of the untact firms significantly increase after the Pandemic Declaration. Research implications or Originality - Based on the Investor Mania Hypothesis, we confirm that the market potential of untact firms after the Pandemic Declaration is observed when compared with the KOSPI 200.

• Journal of Intelligence and Information Systems
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• v.24 no.3
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• pp.157-176
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• 2018

The purpose of this research is to develop a detection model for companies designated as administrative issue in KOSDAQ market using financial data. Administration issue designates the companies with high potential for delisting, which gives them time to overcome the reasons for the delisting under certain restrictions of the Korean stock market. It acts as an alarm to inform investors and market participants of which companies are likely to be delisted and warns them to make safe investments. Despite this importance, there are relatively few studies on administration issues prediction model in comparison with the lots of studies on bankruptcy prediction model. Therefore, this study develops and verifies the detection model of the companies designated as administrative issue using financial data of KOSDAQ companies. In this study, logistic regression and decision tree are proposed as the data mining models for detecting administrative issues. According to the results of the analysis, the logistic regression model predicted the companies designated as administrative issue using three variables - ROE(Earnings before tax), Cash flows/Shareholder's equity, and Asset turnover ratio, and its overall accuracy was 86% for the validation dataset. The decision tree (Classification and Regression Trees, CART) model applied the classification rules using Cash flows/Total assets and ROA(Net income), and the overall accuracy reached 87%. Implications of the financial indictors selected in our logistic regression and decision tree models are as follows. First, ROE(Earnings before tax) in the logistic detection model shows the profit and loss of the business segment that will continue without including the revenue and expenses of the discontinued business. Therefore, the weakening of the variable means that the competitiveness of the core business is weakened. If a large part of the profits is generated from one-off profit, it is very likely that the deterioration of business management is further intensified. As the ROE of a KOSDAQ company decreases significantly, it is highly likely that the company can be delisted. Second, cash flows to shareholder's equity represents that the firm's ability to generate cash flow under the condition that the financial condition of the subsidiary company is excluded. In other words, the weakening of the management capacity of the parent company, excluding the subsidiary's competence, can be a main reason for the increase of the possibility of administrative issue designation. Third, low asset turnover ratio means that current assets and non-current assets are ineffectively used by corporation, or that asset investment by corporation is excessive. If the asset turnover ratio of a KOSDAQ-listed company decreases, it is necessary to examine in detail corporate activities from various perspectives such as weakening sales or increasing or decreasing inventories of company. Cash flow / total assets, a variable selected by the decision tree detection model, is a key indicator of the company's cash condition and its ability to generate cash from operating activities. Cash flow indicates whether a firm can perform its main activities(maintaining its operating ability, repaying debts, paying dividends and making new investments) without relying on external financial resources. Therefore, if the index of the variable is negative(-), it indicates the possibility that a company has serious problems in business activities. If the cash flow from operating activities of a specific company is smaller than the net profit, it means that the net profit has not been cashed, indicating that there is a serious problem in managing the trade receivables and inventory assets of the company. Therefore, it can be understood that as the cash flows / total assets decrease, the probability of administrative issue designation and the probability of delisting are increased. In summary, the logistic regression-based detection model in this study was found to be affected by the company's financial activities including ROE(Earnings before tax). However, decision tree-based detection model predicts the designation based on the cash flows of the company.

• Asia-Pacific Journal of Business
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• v.12 no.2
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• pp.115-129
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• 2021

Purpose - This study aimed to clarify the effects of tax investigation probability on accounting transparency in KOSDAQ firms by using financial statement. In particular, it was analyzed whether the characteristics of a firm's listed market have a discriminatory effect on the relationship between the tax investigation selection rate (or detection rate) and earnings management. Design/methodology/approach - This paper examines analyzed the effect of tax investigation of the National Tax Service on the earnings management. The sample includes 9,603 firms listed on KOSPI and KOSDAQ from 2011 to 2018, all of which are manufacturing firms. This study conducted correlation and multiple regression analyses to verify the relationship between tax investigation probability and earnings management. The possibility of a tax investigation is the selection rate and the detection rate, and the profit adjustment was estimated at discretionary amount. Findings - As a result of empirical analysis, both firms listed on KOSPI and KOSDAQ markets showed that the higher the tax investigation rates, the more significant the possibility of reducing the earnings management of discretionary accruals. Additionally it was found that in KOSDAQ markets firms, the tax investigation detection rates had a signigicant nagative effect on discretionary accruals. Research implications or Originality - It can be interpreted that firms with a high rates of receiving a tax investigation decrease earnings management consideration of expenses such as additional tax amount due to the tax audit or a decline in corporate image.

• Journal of Korea Technology Innovation Society
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• v.12 no.4
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• pp.687-714
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• 2009

In this paper, we study empirically the relations between financial constraints and dividend adjustment speed of innovative small and medium sized enterprises (SMEs) listed on Kosdaq Market of Korea Exchange. The main results of this study can be summarized as follows. Determinants suggested by the major theories of dividends, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory explain significantly the dividend payout policy of Kosdaq SMEs. Lintner's dividend adjustment model indicates that Kosdaq SMEs have long run target payout ratio, and that Kosdaq SMEs adjust partially the gap between actual and target payout ratio each year. In the core variables of Lintner (1956) dividend adjustment model, past DPS has more effect than current EPS. These results suggest that Kosdaq SMEs maintain stable dividend policy which maintain past DPS level without corporate special reasons. Dividend adjustment speed of innovative Kosdaq SMEs is more fast than that of uninnovative Kosdaq SMEs, and dividend adjustment speed of financial unconstrained innovative Kosdaq SMEs is faster than that of financial constrained innovative Kosdaq SMEs. Futhermore, dividend adjustment speed of innovative Kosdaq SMEs classified by Small and Medium Business Administration is faster than that of unclassified innovative Kosdaq SMEs. The former is linked with financial policies and services like credit guaranteed service, venture investment fund, insurance program, and so on. In conclusion, past DPS and current EPS suggested by the Lintner's dividend adjustment model explain mainly dividend adjustment speed, and financial constraints explain also partially. Therefore, if managers of innovative Kosdaq SMEs can properly understand of the effects of financial constraints on dividend smoothing, they can maintain constantly dividend policy. This is encouraging result for Korea government as it has implemented many policies to commit to innovative Kosdaq SMEs.

• Journal of the Korea Convergence Society
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• v.9 no.11
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• pp.353-361
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• 2018

The purpose of this study is to analyze how Corporate Real Estate Ratio affects Firm's Value for KOSPI Companies and KOSDAQ Companies. The period of analysis is the period of the Financial Crisis (2007-2008), the period immediately after the Financial Crisis (2009-2011), and the period following the introduction of IFRS (2012-2016). The samples of 2761 KOSPI Companies years and 3719 KOSDAQ Companies years are used in this study. The result of Regression Analysis shows that the higher Corporate Real Estate Ratio is, the more negative Firm's Value is. In the comparison of markets, both KOSPI Companies and KOSDAQ Companies had no statistically significant effects during the Financial Crisis. Although KOSDAQ Companies had a greater negative effect on the Firm's Value than KOSPI Companies right after the Financial Crisis, KOSPI Companies have had a greater negative influence on the Firm's Value than KOSDAQ Companies since the introduction of IFRS. Therefore, each corporation should pay more attention to identifying the appropriate amount of their Corporate Real Estate Ratio and should continue to analyze and make decisions on the most efficient use of real estate which is owned by each company. This study shows speciality in dividing into three period, such as the period of the Financial Crisis, the period immediately after the Financial Crisis, and the period following the introduction of IFRS and comparing the degree of influence on the KOSPI Companies and KOSDAQ Companies for the each period. I hope to study the factors that affect the company's real estate policy.

• Korean small business review
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• v.42 no.3
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• pp.173-193
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• 2020

This study analyzes the effects of KOSDAQ-listed firms' convertible bonds, which have recently increased rapidly in number and size. Although KOSDAQ companies are called mid-size companies, KOSDAQ companies belong to SMEs. Furthermore, convertible bonds have traditionally been a critical capital raising tool for SMEs in the US and Europe. In Korea, KOSDAQ companies actively employ convertible bonds. Convertible bonds provide investment incentives for hesitant investors, allowing companies to raise capital at low interest rates. This study analyzes whether capital raising through issuance of convertible bonds by KOSDAQ companies affects their financial constraints. Financial constraints result from incomplete capital markets, which are embedded in most companies and countries.. In particular, financial constraints have a significant impact on the growth and survival of SMEs. The seminal study FHP(1988) is the most important and effective study of firm's financial constraints. We find that FHP's financial constraint measures show that convertible bond issuance would mitigate the financial constraints of KOSDAQ companies. However, the significance of the evidence is not strong.

• Journal of Korea Technology Innovation Society
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• v.12 no.2
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• pp.360-387
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• 2009

In this paper, we analyse empirically the effects of internal financing on investment of innovative small and medium sized enterprises listed on Kosdaq Market of Korea Exchange. The main results of this study can be summarized as follows. Free cash flows by proxy variables of internal financing have the significant effects on R&D investment as well as fixed asset investment. Internal financing has much more effects on R&D investment of general enterprises listed on Kosdaq Market than that of venture enterprises listed on Kosdaq Market, and on R&D investment of innovative enterprises than that of non-innovative enterprises. Internal financing has more effects on asset-counted R&D investment than cost-counted R&D investment. Asset-counted R&D investment is counted in intangible assets on Balance Sheet, and cost-counted R&D investment is counted in cost on Income Statement. Internal financing has more effects on R&D investment of financial constrained enterprises than that of financial unconstrained enterprises. Financial constraints is measured by credit ratings. Faulkender and Smith (2007) emphasize that low credit ratings enterprises are more likely to face financial constraints, and they rely largely on internal financing.