Is there momentum in Korean equity market?

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.

Department dc:contributor.department

Sloan School of Management.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2017

Author dc:creator

• Shin, Sungchul, S.M. Massachusetts Institute of Technology

Advisor dc:contributor.advisor

• Christopher Noe.

• Sloan School of Management.

Statement dc:rights

• 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.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/112020

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/112020