Financial market efficiency has been constantly challenged with new evidence of calendar anomalies in the stock market. This paper examines the existence and predictability of the turn-of-the-month effect at Kuala Lumpur Composite Index (KLCI), Seoul Composite Stock Price Index (KOSPI) and Tokyo...

This article investigates whether the stock markets of the Pacific Basin countries of Hong Kong, Singapore, South Korea, and Taiwan are informationally efficient with respect to macroeconomic policies. Granger causality tests are utilized in the context of a Vector Error Correction Model to test...

This study examines the relationship between price movements of target firms' stocks and behaviors of local individual, local institutional, and foreign investors in trading target firms' stocks around mergers and acquisitions announcements in Korea. Results reveal that the average abnormal...

This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

The Korean ETF market has shown remarkable growth. ETFs, which are low-cost, diversified, and highly convenient investment products, have recorded a high average annual growth of 33% since their introduction in Korea. The growth rates surpass those of global ETF markets in terms of both market...

This paper analyzes return spillovers from the US to stock markets in Asia by means of quantile regressions. Traditional studies consider spillovers as effects of the conditional means of foreign returns onto the conditional means of chronologically succeeding domestic markets' returns. We, by...

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007 - 2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...

Using the Fama-French three-factor model, this paper provides an explanation for the variation of idiosyncratic return in the Korean stock market over the period of 1990-2012. There had been an upward trend until 1999 in idiosyncratic volatility and its trend has been reversed afterwards. Our...

This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis,...