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Foreign Equity Investors and Momentum Profits: Evidence from Korea
( Ling Xia Sun ) 한국금융학회 2016 금융연구 Vol.30 No.1
This paper examines the trading behavior of foreigner equity investors and its impact on momentum profits. The Korean stock market makes a good setting for this study because of its openness to foreign investors and the availability of a rich dataset that records foreignners’ holdings and trading of each individual stock on a daily basis. Following Grinblatt and Keloharju (2000)’s methodologies, we find strong evidence of positive feedback trading by foreign investors for the period of 1999~2014. We also find that momentum profits are more pronounced among stocks that undergo bigger increases of foreigners’ holdings. In addition, the big magnitude of momentum profits conditional on increases of foreigners’ holdings is not affected by stocks’ attributes, such as market capitalization, book-to-market ratio, beta, and turnover ratio. In our robustness checks, we construct momentum portfolios based on firm-specific returns and also observe significant firm-specific momentum profits for those stocks incurring increases in foreigners’ holdings. Finally, we offer both risk- and behavior- based interpretations for our findings.
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조건부 변동성과 상관관계 전이모델을 이용한 산업별 주가동조화 현상연구
( Xia Sun Ling ),김명현 ( Myeong Hyeon Kim ) 한국금융학회 2015 금융연구 Vol.29 No.2
본 논문은 글로벌 중요지수와 12개의 국내 산업별 포트폴리오의 상관관계 전이효과를 Dynamic Conditional Correlation(DCC) 모델과 비대칭성을 고려한 Asymmetric Dynamic Conditional Correlation (ADCC) 모델을 사용하여 분석한다. 2008년 금융위기와 2010년 유럽위기에 방점을 두고 국내 주식시장에 중요한 영향을 미치는 미국, 일본, 유럽과 중국 시장의 대표지수를 활용해 글로벌 대표지수들로부터 산업별 포트폴리오에 전이되는 메커니즘을 분석하였다. 종합지수(Index)를 활용한 선행연구의 결과와 부합하게, 산업레벨의 지수에서도 위기시 상관관계의 증가를 확인할 수가 있었다. 또한, 시간가변 상관계수의 산업간 변이의 결정요인을 탐구하고자 기업변수들을 활용한 패널회귀 식을 통해, 국내 산업포트폴리오의 각국 마켓지수와의 조건부 상관계수를 설명하는 요인이 다르며, 국내 산업의 각국의 상관계수 변이에 대한 반응이 다르게 나타남을 밝혀냈다. This paper examines how the outside markets` shocks are propagated to the Korean sectors by employing the Dynamic Conditional Correlation (DCC) and the Asymmetric Dynamic Conditional Correlation (ADCC) methodologies. Our special interests are paid on the recent two crisis periods, namely, the 2008 Global Financial Crisis and the 2010 European Sovereign Debt Crisis. For this purpose, we focus on the 4 market indices outside of Korea, i.e., S&P500, STOXX Europe 600, TOPIX,and Shanghai Stock Exchange A-share Index, which are widely used to present for the overall stock markets of America, Europe, Japan, and China. To construct the Korean sector indices, we follow the Fama and French`s classification of the 12 industries that are based on the 4-digit SIC codes. The 12 industries are consumer nondurables, consumer durables, manufacturing, oil, gas, and coal extraction and products, chemicals and allied products, business equipment, telephone and television transmission, utilities, whole sale, retail, and some services (shops), healthcare, medical equipment, and drugs, finance and Other. Our main findings based on the DCC and ADCC methodologies are summarized as follows. The first finding is that we have verified the stylized fact that conditional correlations between the market indices tend to increase during the crisis periods. This finding has been confirmed by the sectoral conditional correlations and also by the panel regression results. Our second finding is that conditional correlation dynamics exhibit significant differences among country-level indices, among sector-level indices, as well as between the two crises. Specifically, the Korean sectors` conditional correlations with the American S&P 500 index capture the well-known financial crisis stories such as the Lehman Brothers collapse however, the Korean sectors` conditional correlations with the STOXX Europe 600 index and the Japanese TOPIX show some puzzling patterns. To be specific, the Korean sectors` conditional correlations with the STOXX Europe 600 and the TOPIX keep decreasing after the Lehman Brothers shock. This pattern to some extent may contradict to the argument that the financial crisis has been a global common factor. In addition, variations among sectoral conditional correlations differ significantly. Variations among sectoral conditional correlations with the American and Chinese indices are larger than those with the European and Japanese during both crisis periods. Also, the absolute magnitude of the conditional correlations with the TOPIX is the largest during both crises. We further investigate the determinants of the sector-level correlations by conducting a panel regression analysis. Specifically, we associate the sector-level correlations with the crisis dummies and several sectorlevel corporate finance variables. Our finding is that crisis dummies and industry-specific variables, such as Tobin`s Q, PPE, Debt ratio, and ROAare significantly associated with the magnitude of conditional correlations. To our best knowledge, this is the first study to examine the determinants that drive a positive co-movement among conditional correlations during the crisis periods by analyzing the Korean sector-level data. Our findings thus contribute to the existing literature by figuring out what microdeterminants drive co-movement among the sector-level correlations and by associating the conditional correlations dynamics with the corporate investment and financing activities.
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Xu, Chuang,Sun, Ling-wei,Xia, Cheng,Zhang, Hong-you,Zheng, Jia-san,Wang, Jun-song Asian Australasian Association of Animal Productio 2016 Animal Bioscience Vol.29 No.2
Fatty liver is a common metabolic disorder of dairy cows during the transition period. Historically, the diagnosis of fatty liver has involved liver biopsy, biochemical or histological examination of liver specimens, and ultrasonographic imaging of the liver. However, more convenient and noninvasive methods would be beneficial for the diagnosis of fatty liver in dairy cows. The plasma metabolic profiles of dairy cows with fatty liver and normal (control) cows were investigated to identify new biomarkers using $^1H$ nuclear magnetic resonance. Compared with the control group, the primary differences in the fatty liver group included increases in ${\beta}$-hydroxybutyric acid, acetone, glycine, valine, trimethylamine-N-oxide, citrulline, and isobutyrate, and decreases in alanine, asparagine, glucose, ${\gamma}$-aminobutyric acid glycerol, and creatinine. This analysis revealed a global profile of endogenous metabolites, which may present potential biomarkers for the diagnosis of fatty liver in dairy cows.
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