Market Anomalies in the Korean Stock Market
DC Field | Value | Language |
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dc.contributor.author | Han, Minyeon | - |
dc.contributor.author | Lee, Dong-Hyun | - |
dc.contributor.author | Kang, Hyoung-Goo | - |
dc.date.accessioned | 2021-08-02T09:26:32Z | - |
dc.date.available | 2021-08-02T09:26:32Z | - |
dc.date.created | 2021-05-13 | - |
dc.date.issued | 2020-06 | - |
dc.identifier.issn | 1229-988X | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/9721 | - |
dc.description.abstract | We replicate 148 anomalies to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, we observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When we impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. Our results vary significantly depending on whether the sample included stocks in the KOSDAQ or not and whether value-weighted or equal-weighted portfolios are used. Our results suggest that data mining explains large portion of abnormal returns. Any tactical asset allocation strategies based on market anomalies should be applied very cautiously. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | 한국파생상품학회 | - |
dc.title | Market Anomalies in the Korean Stock Market | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kang, Hyoung-Goo | - |
dc.identifier.doi | 10.1108/JDQS-03-2020-0004 | - |
dc.identifier.bibliographicCitation | 선물연구, v.28, no.2, pp.159 - 228 | - |
dc.relation.isPartOf | 선물연구 | - |
dc.citation.title | 선물연구 | - |
dc.citation.volume | 28 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 159 | - |
dc.citation.endPage | 228 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002608852 | - |
dc.description.journalClass | 2 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Data Mining | - |
dc.subject.keywordAuthor | Anomaly | - |
dc.subject.keywordAuthor | Factors | - |
dc.subject.keywordAuthor | Microcap Stocks | - |
dc.subject.keywordAuthor | Tactical Asset Allocation | - |
dc.identifier.url | https://www.emerald.com/insight/content/doi/10.1108/JDQS-03-2020-0004/full/html | - |
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