Market Anomalies in the Korean Stock Market
- Title
- Market Anomalies in the Korean Stock Market
- Author
- 강형구
- Keywords
- Data Mining; Anomaly; Factors; Microcap Stocks; Tactical Asset Allocation
- Issue Date
- 2020-06
- Publisher
- 한국파생상품학회
- Citation
- 선물연구, v. 28, no. 2, page. 159-228
- 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.
- URI
- https://kiss.kstudy.com/thesis/thesis-view.asp?key=3800251https://repository.hanyang.ac.kr/handle/20.500.11754/167239
- ISSN
- 1229-988x; 2713-6647
- DOI
- 10.1108/JDQS-03-2020-0004
- Appears in Collections:
- GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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