• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.1-25
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• 2006

This paper studied the performance of momentum strategy and contrarian strategy based or past stock return ratio of Korean stock market. The comparative study shows that the volatility of stock markets that can be found the performance of momentum strategy is smaller than that of emerging stock market. Accordingly, This paper examines that the performances of momentum strategy and contrarian strategy are affected by the larger volatility in Korean stock market. Further analysis using the 6 years sub-portfolios reveals that the momentum strategy is significant only during 1980 to 1986 time period when it had the least market volatility. Additionally, we investigate whether firm-level volatility as well as market volatility influence on the performance of contrarian strategy, and figure out that the momentum strategy is significant for the portfolio composed of firms with smaller volatility for previous period, while not significant for the portfolio composed of firms with larger volatility.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.5
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• pp.409-419
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• 2022

This paper examines the post-IPO price volatility in the first trading days after the IPO of SOEs that carry out equitization, on a sample of 76 IPOs on the Hanoi Stock Exchange (Vietnam) in the period 2013-2018. Oversubscription rate, firm size, issuance size, internal equity ownership, and listing delay are all factors that influence IPO price volatility in a primitive stock market. The results showed that the average initial market-adjusted return for the first three trading days was -11.95%; -9.58% and -7.29% and the level of price volatility is related to the rate of oversubscription and company size. Issuance price, issuance size, internal equity holdings, and listing delay do not seem to contribute significantly to post-IPO share prices. Individual investors based their valuation on information released during and after the IPO. In general, the number of IPOs that yield positive and negative returns in the first trading days is about the same, indicating that the two phenomena of undervaluation and overvaluation still occur in the process of valuing shares of Vietnamese SOEs for IPOs.

• Journal of Intelligence and Information Systems
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• v.21 no.3
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• pp.117-129
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• 2015

As the Internet becomes ubiquitous, a large volume of information is posted on the Internet with exponential growth every day. Accordingly, it is not unusual that investors in stock markets gather and compile firm-specific or market-wide information through online searches. Importantly, it becomes easier for investors to acquire value-relevant information for their investment decision with the help of powerful search tools on the Internet. Our study examines whether or not the Internet helps investors assess a firm's value better by using firm-level data over long periods spanning from January 2004 to December 2013. To this end, we construct weekly-based search volume for information technology (IT) services firms on the Internet. We limit our focus to IT firms since they are often equipped with intangible assets and relatively less recognized to the public which makes them hard-to measure. To obtain the information on those firms, investors are more likely to consult the Internet and use the information to appreciate the firms more accurately and eventually improve their investment decisions. Prior studies have shown that changes in search volumes can reflect the various aspects of the complex human behaviors and forecast near-term values of economic indicators, including automobile sales, unemployment claims, and etc. Moreover, search volume of firm names or stock ticker symbols has been used as a direct proxy of individual investors' attention in financial markets since, different from indirect measures such as turnover and extreme returns, they can reveal and quantify the interest of investors in an objective way. Following this line of research, this study aims to gauge whether the information retrieved from the Internet is value relevant in assessing a firm. We also use search volume for analysis but, distinguished from prior studies, explore its impact on return comovements with market returns. Given that a firm's returns tend to comove with market returns excessively when investors are less informed about the firm, we empirically test the value of information by examining the association between Internet searches and the extent to which a firm's returns comove. Our results show that Internet searches are negatively associated with return comovements as expected. When sample is split by the size of firms, the impact of Internet searches on return comovements is shown to be greater for large firms than small ones. Interestingly, we find a greater impact of Internet searches on return comovements for years from 2009 to 2013 than earlier years possibly due to more aggressive and informative exploit of Internet searches in obtaining financial information. We also complement our analyses by examining the association between return volatility and Internet search volumes. If Internet searches capture investors' attention associated with a change in firm-specific fundamentals such as new product releases, stock splits and so on, a firm's return volatility is likely to increase while search results can provide value-relevant information to investors. Our results suggest that in general, an increase in the volume of Internet searches is not positively associated with return volatility. However, we find a positive association between Internet searches and return volatility when the sample is limited to larger firms. A stronger result from larger firms implies that investors still pay less attention to the information obtained from Internet searches for small firms while the information is value relevant in assessing stock values. However, we do find any systematic differences in the magnitude of Internet searches impact on return volatility by time periods. Taken together, our results shed new light on the value of information searched from the Internet in assessing stock values. Given the informational role of the Internet in stock markets, we believe the results would guide investors to exploit Internet search tools to be better informed, as a result improving their investment decisions.

• The Korean Journal of Financial Management
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• v.24 no.2
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• pp.41-79
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• 2007

This study examines the expiration-day effects of stock index futures and options in the Korean stock market. The so-called 'expiration-day effects', which are the abnormal stock price movements on derivatives expiration days, arise mainly from cash settlement. Index arbitragers have to bear the risk of their positions unless they liquidate their index stocks on the expiration day. If many arbitragers execute large buy or sell orders on the expiration day, abnormal trading volumes are likely to be observed. If a lot of arbitragers unwind positions in the same direction, temporary trading imbalances induce abnormal stock market volatility. By contrast, if some information arrives at market, the abnormal trading activity must be considered a normal process of price discovery. Stoll and Whaley(1987) investigated the aggregate price and volume effects of the S&P 500 index on the expiration day. In a related study, Stoll and Whaley(1990) found a similarity between the price behavior of stocks that are subject to program trading and of the stocks that are not. Thus far, there have been few studies about the expiration-day effects in the Korean stock market. While previous Korean studies use the KOSPI 200 index data, we analyze the price and trading volume behavior of individual stocks as well as the index. Analyzing individual stocks is important for two reasons. First, stock index is a market average. Consequently, it cannot reflect the behavior of many individual stocks. For example, if the expiration-day effects are mainly related to a specific group, it cannot be said that the expiration of derivatives itself destabilizes the stock market. Analyzing individual stocks enables us to investigate the scope of the expiration-day effects. Second, we can find the relationship between the firm characteristics and the expiration-day effects. For example, if the expiration-day effects exist in large stocks not belonging to the KOSPI 200 index, program trading may not be related to the expiration-day effects. The examination of individual stocks has led us to the cause of the expiration-day effects. Using the intraday data during the period May 3, 1996 through December 30, 2003, we first examine the price and volume effects of the KOSPI 200 and NON-KOSPI 200 index following the Stoll and Whaley(1987) methodology. We calculate the NON-KOSPI 200 index by using the returns and market capitalization of the KOSPI and KOSPI 200 index. In individual stocks, we divide KOSPI 200 stocks by size into three groups and match NON-KOSPI 200 stocks with KOSPI 200 stocks having the closest firm characteristics. We compare KOSPI 200 stocks with NON-KOSPI 200 stocks. To test whether the expiration-day effects are related to order imbalances or new information, we check price reversals on the next day. Finally, we perform a cross-sectional regression analysis to elaborate on the impact of the firm characteristics on price reversals. The main results seem to support the expiration-day effects, especially on stock index futures expiration days. The price behavior of stocks that are subject to program trading is shown to have price effects, abnormal return volatility, and large volumes during the last half hour of trading on the expiration day. Return reversals are also found in the KOSPI 200 index and stocks. However, there is no evidence of abnormal trading volume, or price reversals in the NON-KOSPI 200 index and stocks. The expiration-day effects are proportional to the size of stocks and the nearness to the settlement time. Since program trading is often said to be concentrated in high capitalization stocks, these results imply that the expiration-day effects seem to be associated with program trading and the settlement price determination procedure. In summary, the expiration-day effects in the Korean stock market do not exist in all stocks, but in large capitalization stocks belonging to the KOSPI 200 index. Additionally, the expiration-day effects in the Korean stock market are generally due, not to information, but to trading imbalances.

• Journal of Korea Port Economic Association
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• v.34 no.1
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• pp.99-110
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• 2018

This study empirically examines simple methodology to quantify the risk resulted from the uncertainty of bunker price and foreign exchange rate, which cause main resources of the cost in shipping industry during the periods between $1^{st}$ of January 2010 and $31^{st}$ of January 2018. To shed light on the risk measurement in cash flows we tested GBM(Geometric Brownian Motion) frameworks such as the model with conditional heteroskedasticity and jump diffusion process. The main contribution based on empirical results are summarized as following three: first, the risk analysis, which is dependent on a single variable such as freight yield, is extended to analyze the effects of multiple factors such as bunker price and exchange rate return volatility. Second, at the individual firm level, the need for risk management in bunker price and exchange rate is presented as cash flow. Finally, based on the scale of the risk presented by the analysis results, the shipping companies are required that there is a need to consider what is appropriate as a means of risk management.