Understanding BOXPI — Industry portfolio perspectives

Myeong Hyeon Kim, Young Min Kim and Kisung Yang

Journal of Asian Economics, 2022, vol. 81, issue C

Abstract: “BOXPI” is an acronym for the boxed Korea Composite Stock Price Index (KOSPI). Uniquely, KOSPI has remained within an extremely narrow range during 2012–2016 despite the global liquidity expansion. This study develops a continuous-time model to describe sector rotation and interprets the BOXPI phenomenon from industry portfolio perspectives. We find that the upper bound of the BOXPI can be interpreted as a consequence of the rotations from cyclical to defensive sector in the Korean stock market during that period. Furthermore, a Bayesian variable selection analysis shows that the lower bound of the BOXPI can be regarded as a result of low price-to-book ratio of the KOSPI in the BOXPI period.

Keywords: Bayesian variable selection; BOXPI; Industry momentum; Sector rotation (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:81:y:2022:i:c:s1049007822000574

DOI: 10.1016/j.asieco.2022.101500

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