2026-09-21T09:46:57Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1120202022-01-13T07:54:52Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Christopher Noe.
Shin, Sungchul, S.M. Massachusetts Institute of Technology
Sloan School of Management.
Sloan School of Management
a-ko---
2017-10-30T15:28:00Z
2017-10-30T15:28:00Z
2017
2017
http://hdl.handle.net/1721.1/112020
1006378511
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).
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.
by Sungchul Shin.
S.M. in Management Research
48 pages
eng
Massachusetts Institute of Technology
MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.
http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Is there momentum in Korean equity market?
Thesis
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<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.</Abstract>
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