Investor Attention, Market Dynamics, and Momentum in the Korean Stock Market

Cheoljun Eom, Uk Chang, Byung Jin Kang, Woo Baik Lee, Jong Won Park

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


This study examines the effects of investor attention on momentum in the Korean stock market. The results reveal significant negative momentum profits in stock groups with high investor attention (high turnover stocks), but insignificant results in those with low investor attention (low turnover stocks). Within high turnover stock groups, the winner portfolio has a declining price trend and insignificant performance, while the loser portfolio realizes significant positive performance through a substantial price increase in the future period. The momentum effect is highly dependent on the reversed performance of the loser portfolio. Second, the performance of the large overreaction stock group shows a more significant negative momentum effect compared to the low overreaction stock group, that is, the degree of overreaction significantly affects the momentum effect. Third, negative momentum profits are consistently observed regardless of the market dynamics. Specifically, more substantial and significant negative performance occurs in the transition market, where the market situation reverses between the past and future periods. Fourth, negative momentum profits are consistently identified even after controlling for the impact of common factors and volatility and liquidity into turnover. Our findings are qualitatively different from the characteristics of the traditional momentum effects generally reported in Western countries.

Original languageEnglish
Pages (from-to)589-641
Number of pages53
JournalKorean Journal of Financial Studies
Issue number4
StatePublished - Aug 2020


  • Cross-Sectional Momentum
  • Investor Attention
  • Market Dynamics
  • Overreaction
  • Residual Momentum


Dive into the research topics of 'Investor Attention, Market Dynamics, and Momentum in the Korean Stock Market'. Together they form a unique fingerprint.

Cite this