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

In: Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)

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  • Yutong Song

    (The Chinese University of Hong Kong)

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.

Suggested Citation

  • Yutong Song, 2026. "A Study on Calendar Effect of Korea Composite Stock Index in the 21st Century," Advances in Economics, Business and Management Research, in: Xiongfeng Pan & Huaping Sun & Abdul Rauf & Md Rabiul Islam & Liew Chee Yoong (ed.), Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026), pages 204-222, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6239-642-5_22
    DOI: 10.2991/978-94-6239-642-5_22
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