Is there momentum in Korean equity market?
Name
1006378511-MIT.pdf
Description
Full printable version
Size
6.41 MB
Format
Adobe PDF
Checksum (MD5)
c507dc2936a7413cd4b7fe60827fc9dd
Author(s)
Shin, Sungchul, S.M. Massachusetts Institute of Technology
Advisor(s)
Christopher Noe.
Date Issued
2017
Publisher
Massachusetts Institute of Technology
Abstract
Momentum, whereby past returns are positively associated with future returns, has been documented in most of global equity markets. However, momentum is known to be relatively mild in East Asian equity markets. The momentum strategy does not yield significant returns in the Korean equity market until the early 2000s but does so afterwards. Momentum arises in the Korean equity market as foreign investment increases. Stocks that have a higher proportion of foreign investment exhibit stronger momentum. Similar to other global equity markets, the momentum strategy in Korea is stronger for small stocks and over intermediate horizons, and does not persist for long.
Description
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2017.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 47-48).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
Terms of Use
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