Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market

2017 ◽  
Author(s):  
Dong-Jin Pyo
Keyword(s):  
Big Data ◽  
Stock Market ◽  
Financial Market ◽  
Market Dynamics ◽  
Korean Stock Market

scholarly journals Investor Attention, Market Dynamics, and Momentum in the Korean Stock Market

2020 ◽  
Vol 49 (4) ◽  
pp. 589-641
Author(s):  
Cheoljun Eom ◽  
Uk Chang ◽  
Byung Jin Kang ◽  
Woo Baik Lee ◽  
Jong Won Park
Keyword(s):  
Stock Market ◽  
Market Dynamics ◽  
Momentum Effect ◽  
High Turnover ◽  
Investor Attention ◽  
Momentum Profits ◽  
Korean Stock Market ◽  
Market Situation ◽  
The Impact ◽  
Loser Portfolio

This study examines the effects of investor attention on momentum in the Korean stock market. The results reveal significant negative momentum profits in stock groups with high investor attention (high turnover stocks), but insignificant results in those with low investor attention (low turnover stocks). Within high turnover stock groups, the winner portfolio has a declining price trend and insignificant performance, while the loser portfolio realizes significant positive performance through a substantial price increase in the future period. The momentum effect is highly dependent on the reversed performance of the loser portfolio. Second, the performance of the large overreaction stock group shows a more significant negative momentum effect compared to the low overreaction stock group, that is, the degree of overreaction significantly affects the momentum effect. Third, negative momentum profits are consistently observed regardless of the market dynamics. Specifically, more substantial and significant negative performance occurs in the transition market, where the market situation reverses between the past and future periods. Fourth, negative momentum profits are consistently identified even after controlling for the impact of common factors and volatility and liquidity into turnover. Our findings are qualitatively different from the characteristics of the traditional momentum effects generally reported in Western countries.

scholarly journals THE DIGITAL ECONOMY AND ITS IMPACT ON THE FINANCIAL MARKET

2020 ◽  
Vol 8 (3) ◽  
pp. 83-87
Author(s):  
N. A. Shevchenko ◽  
V. D. Kalinova
Keyword(s):  
Decision Making ◽  
Big Data ◽  
Stock Market ◽  
Financial Market ◽  
Digital Technologies ◽  
Financial Sector ◽  
Digital Economy ◽  
Significant Patterns

The article discusses the relevance of the introduction of digital technologies in the financial sector. Special attention is paid to the evolution of the stock market due to its digitalization. Various options for the practical use of digital technologies in the described area are shown by analyzing big data and identifying significant patterns. The authors ' proposals will improve the efficiency and validity of decision-making in the financial sector.

Revisiting the Profitability Premium in the Korean Stock Market

2020 ◽  
Vol 45 (2) ◽  
pp. 247-280
Author(s):  
Su Jeong Lee ◽  
Seunghwan Kim ◽  
Seunghee Yang
Keyword(s):  
Stock Market ◽  
Korean Stock Market ◽  
Profitability Premium
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