Sun Eae Chun

Overreaction and seasonality in Asian stock indices: Evidence from Korea, Hong Kong and Japan

This chapter examines investor overreaction and seasonality in the stock markets of Korea, Hong Kong and Japan using data for the period of 1985–2004. Evidence suggests little to no reversals following days of excessive increase, but all three indices reversed 35% to 45% following days of excessive decline. Seasonality analysis revealed month-of-the-year effects, day-of-the-week effects, the Friday (weekend) effect and the January effect. The Monday effect was not evident.

: (Threshold Autoregressive)) (Asymmetric Adjustment of Interest Rate Spread in Korean Banks: Application of Threshold Auto-Regressive Model)

Korean Abstract: 본고는 우리나나 �?�행�?� 예·대금리차(spread)�?� 조정행태가 비대칭�? 특성�?� 갖는지를 문턱�?기회귀모형(threshold autoregressive: TAR)과 모멘텀 문턱�?기 회귀모형(momentum threshold autoregressive: M-TAR)�?� �?�용하여 분�?하였다. 분�?결과 예·대금리차가 문턱수준보다 �?� 경우 예·대금리차가 장기균형으로 조정�?�어 가는 �?�?�가 �?대�?으로 �?리며, 예·대금리차가 문턱수준보다 작�?� 경우 조정 �?�?�가 �?대�?으로 빠른 것으로 분�?�?�었다. �?�는 예·대금리차가 �?� 경우 �?�행�?� 금리 차�?�를 �?대�?으로 가급�? 천천히 조정하며, 예·대금리차가 작�?� 경우 �?대�?으로 빨리 조정하여, 예·대 마진�?� 통해 �?�행�?� 수�?�성 �?대를 �?�모 한다는 견해를 뒷받침한다. English Abstract: The paper analyzes the asymmetric adjustment behavior in the deposit-lending interest rate spread of banks in Korea using the threshold auto-regressive(TAR) model and momentum threshold auto-regressive(M-TAR) model. The analysis results show that the adjustment speed is slower when the spread is greater than the threshold, while it is faster when the spread is smaller than the threshold. This supports the view that banks pursue their profits through spread adjustments by adjusting the spread slowly when the spread is large and adjusting it fast when the spread is small.