Earticle

초록

영어

We examine whether prices in the Korean stock market had momentum from 1990 to 2010. In the result of this study, there was no momentum in the Korean stock market for the 1990’s, which is consistent with the previous studies about the momentum effect in the Asian markets. However, in the 2000’s, we observe the significant momentum especially in large companies. The observed momentum in this study is hardly seen as a manifestation of the momentum effect in the developed markets because the momentum is usually more prominent in small-size firms. To ascertain what brings momentum in the Korean stock market, we examine if risk factors which generate momentum have been planted as the Korean market gets developed. Not only does the factor exposure hypothesis fail to explain the momentum, but also the business cycle risk factor in Chordia and Shivakumar does not explain the momentum in the Korean stock market. Next, we investigate if individualistic and overconfident trading behavior of foreign investors attributes to the momentum in the market. The empirical results in the study support the foreign investors’ trading behavior hypothesis.

목차

Abstract
 1. Introduction
 2. Data
 3. Empirical Results
  3.1 Performance of momentum strategy
  3.2 Has the momentum risk factor been planted in the Korean stock market?
  3.3 Are irrational trades by foreign investors responsible for the momentum profit?
 4. Conclusion
 Reference
 Table
 Figure

저자

• Jangkoo Kang [ KAIST, associate professor ]
• Kyungyoon Kwon [ KAIST, doctor candidate ]
• Hyoung-jin Park [ Seoul Women’s University, assistant professor ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330