Earticle

초록

영어

Recent developments in financial market liberalization and information technology are accelerating the interdependence of national stock markets. This study explores the information spillover effect of the US stock market on the overnight and daytime returns of the Korean stock market. We develop a profitable intra-day trading strategy based on the information spillover effect. Our study provides several important conclusions. First, an information spillover effect still exists from the overnight US stock market to the current Korean stock market. Second, Korean investors overreact to both good and bad news overnight from the US. Therefore, there are significant price reversals in the KOSPI 200 index futures prices from market open to market close. Third, the overreaction effect is different between weekdays and weekends. Finally, the suggested intra-day trading system based on the documented overreaction hypothesis is profitable.

목차

Abstract
 1. Introduction
 2. Data and Testable Hypotheses
  2.1 Data
  2.2 Testable Hypotheses
 3. Empirical Results
 4. Trading System Development
 5. Conclusions
 Reference

키워드

저자

• Sun Woong Kim [ Visiting Professor, Graduate School of Business Information Technology. Kookmin University ]
• Heung Sik Choi [ Professor, Graduate School of Business Information Technology, Kookmin University ] Corresponding Author
• Byoung Hwa Lee [ Candidate for Master, Graduate School of Business Information Technology, Kookmin University, ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  JITAM [Journal of Information Technology Applications and Management]

• 간기

  격월간

• pISSN

  1598-6284

• eISSN

  2508-1209

• 수록기간

  1999~2026

• 십진분류

  KDC 005 DDC 005