Market anomalies in the Korean stock market
This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statis...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2020-11-01
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| Series: | Seonmul yeongu |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-03-2020-0004/full/pdf?title=market-anomalies-in-the-korean-stock-market |
| _version_ | 1811326934463807488 |
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| author | Minyeon Han Dong-Hyun Lee Hyoung-Goo Kang |
| author_facet | Minyeon Han Dong-Hyun Lee Hyoung-Goo Kang |
| author_sort | Minyeon Han |
| collection | DOAJ |
| description | This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors 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 the authors 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. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value-weighted or equal-weighted portfolios are used. The 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. |
| first_indexed | 2024-04-13T14:58:03Z |
| format | Article |
| id | doaj.art-918206c9d4184501a62872ed66451135 |
| institution | Directory Open Access Journal |
| issn | 1229-988X 2713-6647 |
| language | English |
| last_indexed | 2024-04-13T14:58:03Z |
| publishDate | 2020-11-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Seonmul yeongu |
| spelling | doaj.art-918206c9d4184501a62872ed664511352022-12-22T02:42:23ZengEmerald PublishingSeonmul yeongu1229-988X2713-66472020-11-0128235010.1108/JDQS-03-2020-0004648372Market anomalies in the Korean stock marketMinyeon Han0Dong-Hyun Lee1Hyoung-Goo Kang2Business School, Hanyang University, Seoul, Republic of KoreaBusiness School, Hanyang University, Seoul, Republic of KoreaBusiness School, Hanyang University, Seoul, Republic of KoreaThis paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors 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 the authors 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. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value-weighted or equal-weighted portfolios are used. The 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.https://www.emerald.com/insight/content/doi/10.1108/JDQS-03-2020-0004/full/pdf?title=market-anomalies-in-the-korean-stock-marketdata mininganomalyfactormicrocap stockstactical asset allocation |
| spellingShingle | Minyeon Han Dong-Hyun Lee Hyoung-Goo Kang Market anomalies in the Korean stock market Seonmul yeongu data mining anomaly factor microcap stocks tactical asset allocation |
| title | Market anomalies in the Korean stock market |
| title_full | Market anomalies in the Korean stock market |
| title_fullStr | Market anomalies in the Korean stock market |
| title_full_unstemmed | Market anomalies in the Korean stock market |
| title_short | Market anomalies in the Korean stock market |
| title_sort | market anomalies in the korean stock market |
| topic | data mining anomaly factor microcap stocks tactical asset allocation |
| url | https://www.emerald.com/insight/content/doi/10.1108/JDQS-03-2020-0004/full/pdf?title=market-anomalies-in-the-korean-stock-market |
| work_keys_str_mv | AT minyeonhan marketanomaliesinthekoreanstockmarket AT donghyunlee marketanomaliesinthekoreanstockmarket AT hyounggookang marketanomaliesinthekoreanstockmarket |