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Open Access
Article
Publication date: 15 March 2022

Kuan-Hui Lee and Shu-Feng Wang

The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors…

Abstract

The National Pension Service (NPS) of Korea suddenly announced that they would suspend their stock lending business from October 22, 2018. Using this ideal setting, the authors investigate the effects of this suspension on market quality and short-selling activities. The authors find that stock return does not increase after the suspension of stock lending for both the KOSPI and KOSDAQ markets. However, the returns of stocks with NPS ownership decline less than those without NPS ownership. The authors also find that the institutional and foreign investors' short sales did not increase in both markets after the lending business suspension by the NPS. In addition, the effect of suspension of stock lending on market quality is mixed, so the authors cannot conclude that market quality has improved. Overall, the authors’ results indicate that the stock market, especially for short-sales activity, has not been affected by the suspension of the stock lending service by the NPS.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 30 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 11 July 2023

Yunsung Eom and Mincheol Woo

As of May 2022, the National Pension Service of Korea is the world's third-largest pension fund, with assets worth KRW912tn (approximately $US800bn). Of the KRW152tn…

Abstract

As of May 2022, the National Pension Service of Korea is the world's third-largest pension fund, with assets worth KRW912tn (approximately $US800bn). Of the KRW152tn (approximately $US133bn) invested in domestic equities, 45% is outsourced to external asset managers. Given the absence of prior research on the National Pension Service's (NPS's) management method, this study analyzes its trading strategies and market impact according to the fund management method from 2005 to 2022. The results are as follows: First, the stock characteristics selected by internal management using passive strategies are different from those selected by external management, in which various strategies are combined. Second, the contrarian investment strategy, which acts as a market stabilizer, is a characteristic of the external management trading pattern, while internal management increases volatility and does not improve liquidity. Third, there has been a change in the internal management strategy since 2016, when the fund management headquarters was relocated. This study is practically significant and distinctive in that it confirms the differences between the NPS's two investment methods in terms of trading strategies and market impact.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 31 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 8 April 2022

Yunsung Eom and Mincheol Woo

As of March 2021, the National Pension Service (NPS) is the world’s 3rd largest pension fund with 872.5tn won (KRW) in management. Recently, the NPS proposed a policy to gradually…

Abstract

As of March 2021, the National Pension Service (NPS) is the world’s 3rd largest pension fund with 872.5tn won (KRW) in management. Recently, the NPS proposed a policy to gradually reduce the proportion of domestic stocks in the portfolio in the future. This change in the asset allocation strategy is related to the NPS’s exit strategy for domestic stocks. This study aims to examine the market impact cost asymmetry between buys and sells of the NPS and suggest a trading strategy for mitigating the market impact cost. The results are as follows. First, there is an asymmetry between buys and sells in the market impact cost of the NPS. The market impact cost of the NPS is gradually increasing over time. In particular, the market impact cost from selling has increased significantly in recent years. Second, past returns, volatility, liquidity and trading intensity can be found as external factors affecting the asymmetric market impact cost of the NPS. Although there is no difference between the buying and selling ratios of the NPS, the market impact cost from sells is relatively higher than that from buys. Third, after controlling for the order execution size of the NPS, the longer the trade execution period, the lower the market impact cost. This result implies that the strategy of splitting orders as a way to reduce the market impact cost is effective. The trading behavior of the NPS directly or indirectly affects other investors. If the sell of the NPS incurs excessive market impact cost, the negative impact on the stock price will be further exacerbated. Therefore, it is necessary for the NPS to reduce the market impact cost through split trading in executing orders in the domestic stock market. Findings of this study provide implications for countermeasures and long-term management strategies that can minimize the market impact cost of the NPS in the process of reducing the proportion of domestic stocks in the future.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 30 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 28 June 2021

Mincheol Woo and Meong Ae Kim

The National Pension Service (NPS) of Korea is one of the largest institutional investors in the world and it has been known as the market stabilizer in the Korean stock market…

Abstract

The National Pension Service (NPS) of Korea is one of the largest institutional investors in the world and it has been known as the market stabilizer in the Korean stock market. Nevertheless, it is hard to find the research about the impact of the NPS on the futures market. We investigated the effect of the NPS’s trading KOSPI200 futures on the returns, the liquidity and the volatility of the market using the recent ten years’ transaction data. The main findings are as follows. First, the NPS’s net investment flow (NIF) in the KOSPI200 futures market shows the predictability about the returns of both KOSPI200 futures and KOSPI200 spot index. Second, the NPS’s NIF in the KOSPI200 futures market improves the liquidity of the KOSPI market, where the transactions involved in both the spot market and the futures market occur. Third, the NPS’s NIF in the KOSPI200 futures market reduces the volatility of both the KOSPI200 futures market and the KOSPI market. Unlike the prior studies showing that our futures market tends to increase the volatility of the stock market through the volatility transfer, our finding suggests that the NPS’s trading KOSPI200 futures contributes to decreasing the volatility in both markets. To the best of the authors’ knowledge, this paper is the first study that investigates the impact of the NPS’s trading KOSPI200 futures on the KOSPI200 futures market and the stock market. It shows that the NPS plays a role of the market stabilizer in the futures market. In addition, the NPS’s trading KOSPI200 futures also affects the KOSPI stock market, stabilizing it in terms of both the liquidity and the volatility.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 4 June 2021

Meong Ae Kim and Mincheol Woo

It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean…

Abstract

It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean stock market. While many studies deal with institutional investors’ trading in the financial derivatives market, the NPS’s trading in the derivatives market is rarely studied. Using the NPS’s trading data for the period from January 2010 to March, 2020, the authors examine the transactions of the NPS in the KOSPI200 futures market. We find that the NPS’s net investment flow (NIF) in KOSPI200 futures is negatively associated with the past returns of KOSPI200 futures and the KOPI200 index. However, we also find that the NPS’s NIF of KOSPI200 futures is positively associated with its NIF in KOSPI200 stocks. Along with the legal restriction on the NPS’s trading in the derivatives market, the result suggests that the NPS uses KOSPI200 futures to deviate the problems related to non-synchronous trading in the spot market. To the best of our knowledge, this paper is the first study of the NPS’s transactions of KOSPI200 futures. The paper suggests that the NPS does not trade KOSPI200 futures for hedging or arbitrage profit but for complementing its transactions in the spot market of KOSPI200 stocks.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 29 no. 2
Type: Research Article
ISSN: 1229-988X

Keywords

Open Access
Article
Publication date: 31 August 2016

Eun-a Im, Hyoung-goo Kang and Sang-gyung Jun

In June 2014, the asset under management of National Pension Service (NPS) of Korea reached over 444 trillion won. NPS forecasts that the asset size will gradually grow to around…

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Abstract

In June 2014, the asset under management of National Pension Service (NPS) of Korea reached over 444 trillion won. NPS forecasts that the asset size will gradually grow to around 2,561 trillion won until 2043. The NPS investment of domestic equities and fixed income securities have been already saturated. So the NPS started to expand in global investment. Accordingly, the worries have grown that NPS's trading in foreign exchange markets may lead to the instability in FX markets. This study has analyzed the influence of NPS's foreign exchange transactions in domestic FX market. The period of study was 54 months from Jan 2010 to June 2014. For detailed research, separate analysis was performed by full year and each year. Our main findings can be summarized as follows : There are statistically plus significant influences of the NPS’s trading volume on the estimated volatility of spot rate on the first half. However, there are minus significant influences on the second half. The NPS's FX trading is known to be systematically regulated by the financial planning of the investment committee. The result of this study shows that the regulation of the NPS’s FX trading minimizes the disturbances of the currency by maintaining the stable market expectation in FX markets.

Details

Journal of Derivatives and Quantitative Studies, vol. 24 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Open Access
Article
Publication date: 22 May 2023

Ryumi Kim and Bonha Koo

The authors examine the effect of split environmental, social and governance (ESG) ratings on information asymmetry, corporate value and trading behavior. The authors test the…

3466

Abstract

The authors examine the effect of split environmental, social and governance (ESG) ratings on information asymmetry, corporate value and trading behavior. The authors test the risk-based hypothesis and the optimism-bias hypothesis on the relationship between diverging opinions and future stock prices. The authors results show that split ESG ratings is positively related to idiosyncratic volatility, an alternative measure for information asymmetry. Further, the negative effect of split ESG ratings on cumulative abnormal return under short-selling constraints is consistent with the optimism bias hypothesis. The authors find a negative relationship between split ESG ratings and the net purchase ratio (NPR) of pension funds. Considering that the NPR is a direct measure of net demand, ESG disagreement may hinder socially responsible investing (SRI) in a firm. This study directly demonstrates the negative effect of ESG disagreement on firm value and investment by Korea's National Pension Service (NPS). The results offer valuable insights into policymakers, as the wide divergence in ESG ratings requires urgent attention to expand SRI.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 31 no. 3
Type: Research Article
ISSN: 1229-988X

Keywords

Article
Publication date: 11 May 2020

Hoon Choi

This paper examines whether and how labour market duality can be alleviated through legislation that prohibits discrimination based on employment type.

Abstract

Purpose

This paper examines whether and how labour market duality can be alleviated through legislation that prohibits discrimination based on employment type.

Design/methodology/approach

In 2007, the Korean government undertook a labour reform banning discriminatory treatment against fixed-term, part-time and dispatched workers. By exploiting a gradual implementation of the anti-discrimination law by firm size targeting a subset of non-regular workers, the paper identifies the treatment effects of the anti-discrimination law, taking a difference-in-difference-in-differences approach.

Findings

The results suggest that the anti-discrimination law significantly increases hourly wages and the probabilities of being covered by national pension, health insurance, and employment insurance for targeted non-regular workers in small firms relative to other workers. Anticipatory behaviours of employers and selective transitions of employees in response to the implementation of the anti-discrimination law do not underlie the estimated effects. The presence of labour unions contributes to reducing gaps in labour conditions between regular workers and targeted non-regular workers.

Originality/value

The main contribution of this paper is to provide empirical evidence on causal impacts of equal pay legislation on the gaps in labour conditions between different categories of workers, using a difference-in-difference-in-differences estimation.

Details

International Journal of Manpower, vol. 41 no. 8
Type: Research Article
ISSN: 0143-7720

Keywords

Article
Publication date: 26 November 2021

Zijun Mao, Jingyi Wu, Yali Qiao and Hong Yao

The present paper constructed a new framework for government data governance based on the concept of a data middle platform to elicit the detailed requirements and functionalities…

1650

Abstract

Purpose

The present paper constructed a new framework for government data governance based on the concept of a data middle platform to elicit the detailed requirements and functionalities of a government data governance framework.

Design/methodology/approach

Following a three-cycle activity, the design science research (DSR) paradigm was used to develop design propositions. The design propositions are obtained based on a systematic literature review of government data governance and data governance frameworks. Cases and experts further assessed the effectiveness of the implementation of the artifacts.

Findings

The study developed an effective framework for government data governance that supported the digital service needs of the government. The results demonstrated the advantages of the framework in adapting to organizational operations and data, realized the value of data assets, improved data auditing and oversight and facilitated communication. From the collection of data to the output of government services, the framework adapted to the new characteristics of digital government.

Originality/value

Knowledge of the “data middle platforms” generated in this study provides new knowledge to the design of government data governance frameworks and helps translate design propositions into concrete capabilities. By reviewing earlier literature, the article identified the core needs and challenges of government data governance to help practitioners approach government data governance in a structured manner.

Details

Aslib Journal of Information Management, vol. 74 no. 2
Type: Research Article
ISSN: 2050-3806

Keywords

Expert briefing
Publication date: 21 February 2024

Lee promptly returned to business, visiting the United Arab Emirates and Malaysia on February 6-11. Meanwhile, SE’s rival SK hynix -- flagship of SK, the second-largest chaebol -…

Details

DOI: 10.1108/OXAN-DB285379

ISSN: 2633-304X

Keywords

Geographic
Topical
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