C. Han
Market overreaction and investment strategies
Han, C.; Hwang, S.; Ryu, D.
Authors
S. Hwang
D. Ryu
Abstract
We investigated the overreaction of the Korean market in response to shocks in the US stock market, and analysed the dynamic relationship between these two markets since 1996. We found that the KOSPI 200 index futures overreacted to the S&P 500 index returns during the period from 2000 to 2009 when the Korean market was in its growth stage. As the Korean market matured and the KOSPI 200 overnight futures were introduced in 2009, the overreaction disappeared. When investors employed the Kelly model or Value-at-Risk to exploit the overreaction, their trading strategies produced significant profits during the growth stage even after considering transaction costs and risk, but the profits attenuated once the overnight futures market was launched in 2009.
Citation
Han, C., Hwang, S., & Ryu, D. (2016). Market overreaction and investment strategies. Applied Economics, 47(54), 5868-5885. https://doi.org/10.1080/00036846.2015.1058913
Journal Article Type | Article |
---|---|
Acceptance Date | Jun 25, 2015 |
Online Publication Date | Jun 25, 2015 |
Publication Date | Nov 20, 2016 |
Deposit Date | Jul 6, 2015 |
Publicly Available Date | Dec 25, 2016 |
Journal | Applied Economics |
Print ISSN | 0003-6846 |
Electronic ISSN | 1466-4283 |
Publisher | Taylor and Francis Group |
Peer Reviewed | Peer Reviewed |
Volume | 47 |
Issue | 54 |
Pages | 5868-5885 |
DOI | https://doi.org/10.1080/00036846.2015.1058913 |
Keywords | Market overreaction, Behavioural biases, KOSPI 200 futures, S&P 500 index, Overnight futures market, G11, G14, G19. |
Public URL | https://durham-repository.worktribe.com/output/1402792 |
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Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis Group in Applied Economics on 25/06/2015, available online at: http://www.tandfonline.com/10.1080/00036846.2015.1058913.
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