코스닥 ‘투자주의 환기종목’ 공시에 대한 주가반응

초록

Due to the higher instability of KOSDAQ market compared to the KOSPI, investors are hardly able to detect any insolvent enterprises among the listed companies, which means the credibility of Korea Exchange(KRX) plays important role. The objective of this study is to evaluate the credibility of KRX's judgement by comparing 33 companies disclosed under the new classification with the others, in terms of price changes of each stock. In this study, two kinds of methods were implemented. We first separated the result into two groups, Event Study (case study) and Association Study (long-term study), and analysed their daily CAR (Cumulative Abnormal Return) and monthly CAR. Consequently, case 1 showed higher negative CAR on the announcement date than the day before. Also the case 2 presented somewhat lower CAR than the prior case, but was likewise irrelevant. As expected, case 3 showed the highest negative CAR among the cases with the clear statistical connection with the announcement. It represents that investors reacted instantly when KRX released the actual list, rather when the exchange market just publicized its new categorization. Meanwhile, according to the long-term study, a rapid increase of negative monthly CAR can be observed even 7 months before the announcement, and the information spill had affected the market since 3 months before the release. These result can support that the new IPI standard of KRX has validity; however, our study was not able to cover any other factors that might had been affect the result and the samples were not enough to conduct more detailed research by industry

키워드