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  • P-ISSN1738-3110
  • E-ISSN2093-7717
  • SCOPUS, ESCI

ISSN : 1738-3110

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Vol.21 No.3

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A Study on Reversals after Stock Price Shock in the Korean Distribution Industry

The Journal of Distribution Science(JDS) / The Journal of Distribution Science, (P)1738-3110; (E)2093-7717
2023, v.21 no.3, pp.93-100
https://doi.org/10.15722/jds.21.03.202303.93
이정환 (한양대학교)
박수규 (한양대학교)
손삼호 (순천향대학교)
이정환, 박수규, & 손삼호. (2023). . , 21(3), 93-100, https://doi.org/10.15722/jds.21.03.202303.93

Abstract

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.

keywords
Reversals, Large-Price Change, Large-Trading Volume, Overreaction, Drifts

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The Journal of Distribution Science(JDS)

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