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An Event Study on the Effects of Summit on South Korea¡¯s Stock Market

  • Inho Lee
  • Shiyong Yoo
This study analyzed the impact of the three Inter-Korean Summit since 2000 and the North Korea-United States Summit in 2018 on the Korean stock market, using the event study methodology, and examined whether an efficient market hypothesis is established. In the 2007 Inter-Korean Summit, all three portfolios(Kaesung industry complex(KIC), Inter-Korean economic cooperation(ECO), and defense industry(DEF)) showed negative (-), but the 2018 Inter-Korean Summit in 2018 showed positive (+) relationship on the ECO and DEF portfolios. Especially, the KIC portfolio showed negative (-) relationship at all summits. In the case of the inter-Korean summit in 2000, the reaction of the CAR was not clear because it was the early in the inter-Korean relations, and the effect was not clear in 2018 NK-US Summit due to the Inter-Korean Summit in 2018 that held a few month ago. As a result of examining the size effect of dividing the return rate by the simple average and the weighted average, small size stocks are more affected by the summit than large size stocks. Overall, the response of the CAR differed for each summit, but weak or semi-strong efficient markte hypothesis was established.
Summit,Event Study,Efficient Market Hypothesis,Cumulative Abnormal Return