Trading Activities with Stock Indexes of Korea and the U.S.: Empirical Evidence

John J. Kim,J.K.Yun 한국학술연구원 2003 Korea Observer Vol.34 No.1

This paper analyzes the trading volume of Korea and the U.S. to show how the trading activity has been reflected on each country’s stock market during the period starting from the Asian financial crisis in 1997 to 2001. Korean economy has significantly been influenced by the U.S. economy, Korea’s largest market, as its proportion of export to the U.S. has almost always been as much as 20% of total export of Korea. From the empirical results, it is argued that the U.S. stock market, net export by Korea to the U.S., and export by Korea other than to the U.S. are statistically significant in explaining the variation in the Korean stock market. On the other hand, Korean stock market and net export by the U.S. to Korea are also statistically significant in explaining the variation in the U.S. stock market. However, Korea’s total export other than to the U.S. (e.g., the European Union (EU) and its claim of anti-dumping rule) sheds negative impact on Korean stock market returns. The findings have pragmatic implication for the conduct and interpretation of this line of research.

마코위츠 포트폴리오 선정 모형을 기반으로 한 투자 알고리즘 개발 및 성과평가

최재호(Jaeho Choi),정종빈(Jongbin Jung),김성문(Seongmoon Kim) 한국경영과학회 2013 經營 科學 Vol.30 No.1

This paper develops an investment algorithm based on Markowitz’s Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor’s risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

The Relative Performance of ADRs and U.S. stocks in October 2007 and Octobe

Tibebe A. Assefa,Dave O. Jackson 사람과세계경영학회 2010 Global Business and Finance Review Vol.15 No.2

We examine the performance of a sample of 116 ADRs and 536 U.S. stocks in October 2007 and October 2008 using a one-year buy and hold methodology. The stocks and ADRs in this study are listed on the U.S. stock exchanges. We compare their performance when the U.S. stock market was relatively high (October 2007) and sharply declining (October 2008). Our findings indicate that U.S. stocks and ADR returns differ depending on whether the U.S. stock market is relatively high or sharply declining. Generally, ADR returns are more volatile than stocks. When the market is high, ADRs perform better than U.S. stocks; and when the U.S. stock market is sharply declining, the performance is reversed. The performance of ADRs and stocks also vary by industry with the banking, communication, biotechnology, gold, and independent oil and gas industries being negatively associated with stocks compared to ADRs while the utilities, semiconductor, and insurance industries are positively associated with cumulative returns of stocks compared to ADRs.

미국의 통화정책과 국내 주식 투자자의 반응

박종호 강원대학교 경영경제연구소 2022 Asia-Pacific Journal of Business Vol.13 No.4

Purpose - The primary objective of this article is to investigate the impact of U.S. monetary policy on institutional / individual / foreign investor reactions in the Korean stock market. Design/methodology/approach - This study employs a high frequency event study methodology to identify U.S. monetary policy shocks and quantify the impact of identified shocks on investor reactions. The dependent variable in the regression model is net stock purchase, while the explanatory variables are U.S. monetary policy shocks. The model is estimated for the period 2000-2019, including 156 FOMC meetings. Findings - Foreign investors immediately sell stocks in response to contractionary U.S. monetary shocks. They do not, however, react to anticipated changes in monetary policy rates, confirming the rationality of foreign investors. Individual investors demonstrate the opposite response, indicating that a non-trivial proportion of individual investors are irrational. Research implications or Originality - This study adds to the current literature on the effect of U.S. monetary policy on the Korean stock market. This study demonstrates a heterogeneous response to U.S. monetary policy shocks, validating the rational investment behavior of foreign investors, while individual investors exhibit a certain degree of irrationality. Methodologically, this study adds to the literature by quantifying the impact of U.S. monetary policy employing a sharper identification method allowing a simple and consistent estimation.

What Trump’s China Tariffs Have Cost U.S. Companies?

Refk Selmi,Youssef Errami,Mark E,Wohar 세종대학교 경제통합연구소 2020 Journal of Economic Integration Vol.35 No.2

For decades, the two economic superpowers—the U.S and China—have converged on seemingly contentious issues. However, the U.S. administration under Donald Trump s presidency is now attempting to undo that as a deepening trade rift with China affects businesses in both economies. In July, August, and September 2018, the United States successively increased tariffs on a total of $250 billion in annual imports of Chinese goods, stating that it wished to safeguard U.S. companies from unfair Chinese practices and reduce the bilateral trade deficit. China responded with tariffs on $110 billion of imports from the United States. The trade tensions between the two economic superpowers have led to a significant and rapid reduction in bilateral trade in taxed goods. Our study employed an event study methodology to investigate the reactions of the sectoral U.S. stock prices to the China tariffs. This paper seeks to examine the heightened uncertainty surrounding the U.S.-China trade war to shed some light on the reactions of sectoral U.S. stock market to China tariff threats. Generally, the initial effects of trade tensions appear more significant than had been expected, reflecting the uncertainty shock. Specifically, the responses of information technology, industrials, and energy were even more severe than the reactions of financials, consumer discretionary items and staples, healthcare, real estate, aerospace and defense, and utilities. Designed to create a portfolio with balanced exposure, certain sectors have been positioned for offense (information technology and industrials) with others for defense (healthcare, real estate, and utilities). Our results clearly show that the sentiment and confidence of investors are impacted by heightened uncertainty.

아시아 개도국 ADR 성과와 그 결정요인에 관한 실증연구

전호진 한국동북아경제학회 2009 동북아경제연구 Vol.21 No.3

since the 2000s, as a result liberalization of capital transaction asia developing countries have actively developed several financing sources. in this trend, ADR(american depositary receipts), on which this paper focuses, are becoming more and more popular financing instruments. this paper empirically studies the ADR determinants and performances of Developing Countries in Asia. found the following interesting results. First, the empirical results show that an increase in underlying stock returns has simultaneously positive relations with ADR price returns. the results of this study indicated that ADR and underlying stock prices seem to converge and spillover effects. Second, when U.S stock market returns increase, Taiwan, China, Korea, Hong Kong ADR price returns also increase. from in this results, can conjecture that as time goes by, U.S investors treat ADR as local stocks. Third, met with result that negative relation between ADR price returns and foreign exchange rate, but China, Hong Kong did not. Lastly, found that an increase in the country risk premiums has negative relations with Taiwan, Thailand ADR price returns but we couldn’t find out other countries.

미국주식시장에 대한 한국주식시장의 동조화 현상

김형도(Kim, Hyung-Do) 대한경영학회 2001 大韓經營學會誌 Vol.29 No.-