학술논문
Study on Reversals after Stock Price Shock in the Korean Distribution Industry
이용수 9
- 영문명
- Study on Reversals after Stock Price Shock in the Korean Distribution Industry
- 발행기관
- 한국유통과학회
- 저자명
- Jeong-Hwan LEE Su-Kyu PARK Sam-Ho SON
- 간행물 정보
- 『유통과학연구(JDS)』제21권 제3호, 93~100쪽, 전체 8쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2023.03.30
무료
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국문 초록
영문 초록
Purpose: The purpose of this paper is to confirm whether stocks belonging to the distribution industry in Korea have reversals, following large daily stock price changes accompanied by large trading volumes.
Research design, data, and methodology: We examined whether there were reversals after the event date when large-scale stock price changes appeared for the entire sample of distributionrelated companies listed on the Korea Composite Stock Price Index from January 2004 to July 2022. In addition, we reviewed whether the reversals differed depending on abnormal trading volume on the event date. Using multiple regression analysis, we tested whether high trading volume had a significant effect on the cumulative rate of return after the event date.
Results: Reversals were confirmed after the stock price shock in the Korean distribution industry and the return after the event date varied depending on the size of the trading volume on the event day. In addition, even after considering both company-specific and event-specific factors, the trading volume on the event day was found to have significant explanatory power on the cumulative rate of return after the event date.
Conclusions: Reversals identified in this paper can be used as a useful tool for establishing a trading strategy.
목차
1. Introduction
2. Literature Review
3. Research Hypothesis
4. Data Description and Research Design
5. Results and Discussion
6. Conclusions
References
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