(Portfolio Management with Islam Equity in Korean Stock Market)

2016 ◽  
Author(s):  
Hong-Bae mname Kim
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Korean Stock Market

scholarly journals Contemporaneous Correlation between the Return and the Change of Trading Volume

2019 ◽  
Vol 27 (4) ◽  
pp. 425-473
Author(s):  
Mhin Kang ◽  
Joon Chae
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Stock Price ◽  
Trading Volume ◽  
Return Volatility ◽  
Daily Return ◽  
Stock Price Prediction ◽  
Contemporaneous Correlation ◽  
Korean Stock Market ◽  
The Individual

This study demonstrates the contemporaneous correlation between return and the change of trading volume (CCRV) in the Korean stock market and analyzes the effect of trading volume change on the return and its volatility of individual stocks. Also, we examine the underlying reasons for CCRV in the Korean stock market. The empirical analysis covers individual stocks listed in KOSPI and KOSDAQ and their portfolios from 1989 to 2015. The main results are as follows. First, the CCRV in the Korean stock market dominantly appears positive. Second, at the individual stock level, the daily return volatility induced by CCRV accounts for 4.22% of the total daily return volatility. Third, the return volatility induced by CCRV is largely offset by well-diversified portfolios. Lastly, the ratio of positive CCRV decreases in stocks with very high or very low liquidity. The above result suggests that the illiquidity premium hypothesis is appropriate in explaining CCRV in the Korean stock market. In addition, the above results also indicate that the changes of trading volume can act as an idiosyncratic risk factor that can additionally intensify or weaken the response of the return toward the news. Furthermore, these results suggest that a strategy with sufficient consideration for CCRV is essential for the stock price prediction, the valuation of derivatives, and portfolio management.

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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