금융위기가 한국 주식시장의 효율성에 미친 영향에 관한 연구: 산업별 월요효과를 중심으로
Study on the Effects of Financial Crisis on the Korean Stock Market Efficiency: Focusing on the Monday Effect by Industry
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본 연구는 2008년 금융위기가 한국 주식시장의 효율성에 미친 영향을 살펴본다. 특히, 월요효과의측면에서 금융위기가한국주식시장의효율성 변화에미친영향을분석한다. 또한 월요효과 및 이와 관련된 1월 효과(1월의 월요일이 수익률에 미치는 영향) 와월말 효과(월중 네번째와다섯번째 월요일이수익률에 미치는 영향)가 금융위기전과 후에 어떻게 변화되었는지를 분석하며 이러한 변화가 산업별로 차이가 있었는지도함께 살펴본다. 분석 결과, KOSPI 지수의 경우 금융위기 이후 월요효과, 1월 효과, 주간효과는 사라지는 것으로나타났다. 반면산업별 지수를살펴보았을때대다수의산업에서는금융위기와 관계없이 월요및 1월 효과는 존재하지않았고, 기존에 존재하였던 산업 군에서도금융위기 이후 월요 효과 및 관련된 이례현상들은 사라는 경향을 보였다. 이는 이례현상 측면에서 금융위기 이후 한국 주식시장이 점차 효율적으로 전환되었음을 의미한다.
Abstract
We analyze the effect of 2008 financial crisis on the Korean stock market efficiency. This paper specifically focuses on the examination of the Monday effect in Korean stock market with recent data to assess whether the efficiency is changed after the financial crisis. This paper also investigates how the effect differs by industrial sector. In addition, this study examines how the Monday effect is related to the January effect and the week-of-the-month effect before and after financial crisis. The authors find that the Monday and related effects have disappeared after the financial crisis. We also observe that for most industries anomalies are not observed throughout entire period. However, for some industrial sectors, the Monday effects and related anomalies have gone after the crisis. These findings support the claim that the Korean stock market has become efficient on average since the financial crisis
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