Market Anomalies in the Korean Stock Market
- Authors
- Han, Minyeon; Lee, Dong-Hyun; Kang, Hyoung-Goo
- Issue Date
- Jun-2020
- Publisher
- 한국파생상품학회
- Keywords
- Data Mining; Anomaly; Factors; Microcap Stocks; Tactical Asset Allocation
- Citation
- 선물연구, v.28, no.2, pp.159 - 228
- Indexed
- KCI
- Journal Title
- 선물연구
- Volume
- 28
- Number
- 2
- Start Page
- 159
- End Page
- 228
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/9721
- DOI
- 10.1108/JDQS-03-2020-0004
- ISSN
- 1229-988X
- 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.
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