A Study on Calendar Effect of Korea Composite Stock Index in the 21st Century

Yutong Song ()
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Yutong Song: The Chinese University of Hong Kong

A chapter in Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026), 2026, pp 204-222 from Springer

Abstract: Abstract To address the research gap in studying the evolution of calendar effects around major events, this paper analyzes South Korea’s stock market data from 2000 to 2025. By employing statistical methods including non-parametric tests, time series ARMA modeling, and sliding window analysis, we explore the distribution patterns and temporal evolution of weekly, monthly, and holiday effects within the observation period. The findings reveal that while South Korea’s stock market exhibits relatively pronounced calendar effects during specific windows, these phenomena demonstrate significant volatility and short-lived characteristics due to factors such as international event impacts, domestic market structure, foreign capital inflows, and geopolitical tensions. Notably, recent years have seen a general trend of diminishing these effects.

Keywords: Calendar effects; COVID-19; 1997 Asian financial crisis; 2008 financial crisis/Iceland crisis; Stock market of South Korea (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6239-642-5_22

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DOI: 10.2991/978-94-6239-642-5_22

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