• 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.11 no.2
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• pp.131-159
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• 1994

주가과잉반응(overreaction)이라 함은 투자자들이 특정 투자정보를 과대평가하여 주가에 반응하는 현상인데, 본 연구는 우리나라 주식시장에서의 주가과잉반응가설(株價過剩反應假說)(overreaction hypothesis)을 여러 가지의 대체적 방법을 사용하였으며, 따라서 우리나라 주식시장의 주가반전현상에 대하여 보다 체계적인 결론을 얻는데 목적을 두었다. 특히 위험요소를 고려하기 위하여 시장조정수익률모형, 위험조정수익률모형을 이용하였으며, 규모차이를 고려하기 위하여 자기자본총액에 따라 각각의 포트폴리오를 재구성하여 분석하였다. 그리고 초과수익률 산출시 대용되는 시장포트폴리오수익률을 종합주가수익률(KCI)과 동일가중주가지수수익률(EWI)을 이용하여 분석하였다. 본 연구의 분석기간은 1980년에서 1992년까지의 월별개별주가수익률을 이 용하였으며, 연구방법론에 있어서 국내의 기존연구에서 사용된 연구방법을 이용하였는데 이는 방법론차이로 인해 분석 결과가 상이해질 우려를 배제하고 일관성 있는 결론을 내림과 동시에 비교측면을 제고시키기 위한 배려였다. 이와 같은 여러 대체적 분석방법을 사용하여 얻은 결과에 따르면 국내외 여러 연구와는 달리 우리나라 주식시장에서의 주가과잉반응현상(株價過剩反應現象)은 투자자들이 입수한 정보에 대해 과민반응함으로써 주가가 본질적(本質的) 가치(價値)로부터 이탈되는 것이 아니고, 주로 기업규모효과(企業規模效果)(firm-size effect)와 신년효과(新年效果)(turn-of-the-year effect)등이 중첩(重疊)되어 나타나는 이례적(異例的) 현상(現象)(anomalies)으로 인한 주가반전현상(株價反轉現象) 이라고 말할 수 있겠다.

• Korean Business Review
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• v.11
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• pp.241-253
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• 1998

One form of the anomalies of stock price changes as reaction to earnings information is believed to be caused by the so-called earnings fixation, which is the overreaction of stock prices to earnings. According to the Sloan (1996) study, stock price changes are positively associated with earnings at the time of earnings releases, but the association becomes negative after that, as the early overreaction is corrected. However, the problem in his study is to use cash flows computed by adjusting earnings with appropriate income statement and balance sheet items. As Bahnson et al. (1996) show, these cash flows substantially deviate from SFAS No. 95 cash flows and the sample used in this study is found to be subject to this substantial measurement error. Therefore, the result of Sloan might be driven by this error and the reexamination of earnings fixation is warranted. The results are generally consistent with those in Sloan. First, earnings is positively associated with stock price changes at the time of earnings releases, but the association becomes negative after that. Second, cash flows show a weak association with stock price changes at the time of earnings releases, but the association become stronger thereafter. Third, when seperated from cash flows, accruals have an incremental explanation about stock price changes beyond that of cash flows, accruals have a negative association later on. This finding is consistent with stock price overreaction to accruals, even when more cleaner cash flow data are used.

• The Korean Journal of Financial Management
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• v.12 no.1
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• pp.187-210
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• 1995

본고(本槁)에서는 영국기업의 최초공모주를 이용하여 최초공모주(最初公募株) 시장(市場)에 나타나는 3가지 이례현상(異例現象) 즉 단기(短期)에 있어 최초공모주의 저가발행현상(低價發行現象), 장기(長期)에 있어 최초공모주의 저성과현상(低成果現象) 그리고 hot issue market 존재를 분석하고 있다. 이러한 분석은 주로 미국(美國) 발행시장(發行市場)을 대상으로 이루어져 왔는바, 시장의 효율성 측면에서 비슷한 수준을 유지하고 있는 영국(英國)의 증권시장(證券市場)에서도 이러한 현상이 나타나는지를 조사해보는 것은 의미가 있을 뿐만아니라 이러한 현상이 다른 시장에서도 통상 나타나는 현상인지를 밝히는데도 의의가 있다고 보여진다. 영국(英國)의 최초공모주(最初公募株) 시장(市場)에서의 3가지 이례현상(異例現象)을 분석하기 위해 우선 거래 첫날의 시장조정수익률(市場調整收益率)을 계산하여 신규공모주가 시장가격에 비해 할인(割引)되어 발행되는지를 조사한 결과 시장가격에 비해 12.88% 정도 할인발행되고 있음이 밝혀졌다. 단기의 저가발행현상(低價發行現象)과는 달리 신규공모주가 시장에 상장된지 3년이 경과한 후 추정된 장기투자수익률(長期投資收益率)은 12.05%의 부(負)의 누적초과수익률(累積超過收益率)을 시현하고 있는데 이는 과잉반응가설(過剩反應假說)에 의해 설명되고 있다. 끝으로 1987년의 최초공모주가 다른 연도에 비해 다섯배 정도로 저가발행되고 있음을 밝힘으로써 영국발행시장(英國發行市場)에도 hot issue market 현상이 나타남을 분석하고 있다.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.4
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• pp.45-56
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• 2018

The paper aims to examine relationships between search-based sentiment and stock market reactions in Vietnam. This study constructs an internet search-based measure of sentiment and examines its relationship with Vietnamese stock market returns. The sentiment index is derived from Google Trends' Search Volume Index of financial and economic terms that Vietnamese searched from January 2011 to June 2018. Consistent with prediction from sentiment theories, the study documents significant short-term reversals across three major stock indices. The difference from previous literature is that Vietnam stock market absorbs the contemporaneous decline slower while the subsequent rebound happens within a day. The results of the study suggest that the sentiment-induced effect is mainly driven by pessimism. On the other hand, optimistic investors seem to delay in taking their investment action until the market corrects. The study proposes a unified explanation for our findings based on the overreaction hypothesis of the bearish group and the strategic delay of the optimistic group. The findings of the study contribute to the behavioral finance strand that studies the role of sentiment in emerging financial markets, where noise traders and limits to arbitrage are more obvious. They also encourage the continuous application of search data to explore other investor behaviors in securities markets.

• Journal of Distribution Science
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• v.21 no.3
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• pp.93-100
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• 2023

Purpose: The purpose of this paper is to confirm whether stocks belonging to the distribution industry in Korea have reversals, following large daily stock price changes accompanied by large trading volumes. Research design, data, and methodology: We examined whether there were reversals after the event date when large-scale stock price changes appeared for the entire sample of distribution-related companies listed on the Korea Composite Stock Price Index from January 2004 to July 2022. In addition, we reviewed whether the reversals differed depending on abnormal trading volume on the event date. Using multiple regression analysis, we tested whether high trading volume had a significant effect on the cumulative rate of return after the event date. Results: Reversals were confirmed after the stock price shock in the Korean distribution industry and the return after the event date varied depending on the size of the trading volume on the event day. In addition, even after considering both company-specific and event-specific factors, the trading volume on the event day was found to have significant explanatory power on the cumulative rate of return after the event date. Conclusions: Reversals identified in this paper can be used as a useful tool for establishing a trading strategy.

• The Korean Journal of Nuclear Medicine
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• v.26 no.1
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• pp.33-39
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• 1992

Spontaneous pain and painful overreaction to external stimuli resulting from lesion confined central nervous system (CNS) were named as thalamic syndrome. Thalamic lesion and decreased regional cortical perfusion thought to the pathogenesis of thalamic syndrome due to decreased function of thalamocortical tract. We performed $^{99m}Tc-HMPAO$ regional cerebral perfusion in 10 patients with clinical diagnosis of thalamic syndrome due to thalamic lesion or near the thalamic lesion at Yonsei University Hospital, from January 1989 to August 1991. In contrast to five patients with lesions near the thalamus who did not show secondarily decreased perfusion at cerebral cortex, four among the five patients with thalamic lesions revealed decreased cortical perfusion in the ipsilateral cerebral cortex on brain SPECT. These phenomena may suggest the loss of afferent activating stimuli from the thalamus led to decreased neuronal activity and the followitng hypoperfusion of cerebral cortex, and might be one of the indirect signs for suggesting presence of the thalamocortical tract. A causal relationship between cortical hypoperfusion and neuropsychological deficit is strongly suggested.

• Journal of Korean Society of Transportation
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• v.22 no.4 s.75
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• pp.107-116
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• 2004

VMS를 통한 정보제공에는 과도반응과 통행집중의 위험부담이 따른다. 즉 대안경로간에 이루어져야 할 통행배분을 정확히 유도할 수 있는 VMS 메시지란 존재치 않는다. VMS 메시지에 의해 특정 경로가 교통상황이 타 경로에 비해 좋다고 정보가 주어질 때, 그 정보에 대한 과도반응과 그 특정경로에 대한 통행집중 문제가 발생하여 정보제공에 의해 오히려 상황이 악화될 수 있다. 본 연구에서는 대안경로간의 물리적 특성 측면에서 우열이 있는 가상 네트워크를 대상으로 하여, 과도반응과 통행집중 문제를 극복하고 대안경로간의 적절한 통행배분을 달성하기 위한 VMS 운영알고리즘을 개발하는 것을 목표로 한다. VMS정보제공 결과, 즉 VMS를 통해 상황이 좋다고 알려준 경로에 통행이 집중할 경우 문제가 될 것인가 여부를 미리 예측해 보고, 문제가 될 경우 정보제공 전략을 수정하도록 하는, 피드백 제어에 예측적 방식을 접목하였다. 본 연구에서 제안한 알고리즘의 주요 기능은 다음과 같다. 1. 교통량, 속도 등에 대한 실시간 모니터링 시스템이 구축되어 있음을 전제로 한다. 2. 실시간 제어에는 모니터링 결과와 이에 근거한 정보제공전략의 시행사이에는 시간차가 존재한다. 이러한 시간차이로 인하여 단기예측이 필요하고, 이를 수행하는 모듈이 있다. 3. 정보제공 결과로 특정 경로에 과부하가 걸리는지 여부를 예측하기 위하여, 그 판단기준으로 그 경로의 실제 용량 산정이 필요하다. 이에 혼잡의 시공간적 전개에 따라 변하는 동적 용량을 산정하는 모듈이 있다. 4. 대안 경로간 통행배분 목표치를 수리적으로 산정할 수는 있으나, 이를 자동적으로 이루어 주는 메시지는 존재하지 않는다. 아울러 현실적으로 예측 불가능한 외란을 모형에 의존하여 예측하기 보다는, 계속적인 피드백 레귤레이터(Regulator) 작동에 의해 보정하여 목표를 달성해 가는 자동제어 기능을 갖고 있다.

• Journal of Advanced Technology Convergence
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• v.1 no.2
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• pp.75-81
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• 2022

This study was attempted to understand the relationship between gender sensitivity and rejection sensitivity of nursing students. From August 26 to September 4, 2022, a survey was conducted on 180 people attending nursing universtity in I Metropolitan city, and then analyzed using the SPSS 24.0 Program. As a result of the study, nursing students' gender sensitivity had a high score of openness to gender identity and openness to gender roles, and overreaction was high among the sub-factors of rejection sensitivity. The gender sensitivity of nursing students was statistically significantly higher when female students, under the age of 23, without religion, experienced gender discrimination, and when there were LGBT people among family, relatives, or friends. In addition, rejection sensitivity was statistically significantly higher only when female students. Finally, among the sub-factors of gender sensitivity, there was a positive correlation between introspection and rejection sensitivity. In order to improve the introspection of gender sensitivity for nursing students, it is necessary to include education or programs on rejection sensitivity.

• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.163-199
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• 2007

This paper studies the stock market in which there are two types of investor, institutional and individual, whose information gathering and processing abilities are different. The institutional investor manages large funds and has powerful information sources. Whereas, the individual investor trades with a small amount of money and an information disadvantage. The model assumes that the institutional investor is more experienced and able to acquire relevant information earlier than the individual investor. On these assumptions, this paper shows a price continuation in the short run and a price reversal in the long run. The price continuation, or momentum, in the short run can be explained as follows. The early-informed institutional investor trades a stock, and as a result the stock price changes. Then the late-informed individual investor trades the same stock, and the stock price continues to move in the same direction in the short run. The reason for the price reversal in the long run is that since the individual investor has inferior information on the fundamental value of the stock, he tends to overreact to new information. So the stock price changes over its fundamental value initially and then regresses toward its fundamental value. In sum, both the price continuation and the price reversal are caused by the overreaction of the individual investor. The essay illustrates how these phenomena are stronger in the case where the proportion of the individual investor is higher. It also shows how the stock price goes up when the institutional investor buys a stock, while it goes down when the individual investor buys one.