국내 기업집단의 주가지체현상에 관한 연구

Min-Su Kim ; Heejung Choi

(First Author) Department of Economics and Finance, Soonchunhyang University equili@sch.ac.kr
(Corresponding Author) Department of Business Administration, Sunmoon University choihj0105@gmail.com

Stock Price Delay of Korean Business Groups

Copyright 2011 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This paper examines the stock price delay of Korean firms that belong to large business groups. We develop our hypothesis based on the contagion effect hypothesis and propping hypothesis. Using firms listed in the Korean stock market from 2001 to 2018, we construct stock price delay following Hou and Moskowitz(2005) and verify whether business group affiliation mitigates stock price delay. We further analyze how the global financial crisis affects the relation. Our empirical results reveal that business group affiliation alleviates stock price delay, consistent with the contagion effect hypothesis. We also find that the negative relationship between business group affiliation and stock price delay is lessened during the crisis. It tells us that under a negative macro impact, our results are consistent with the propping hypothesis rather than the contagion effect hypothesis. Our main results are intact whether we construct our delay measure using overall stock market price or industry-specific stock market price, and whether we implement pooled OLS or firm fixed effect. We also observe the same results when we measure stock price delay either in individual firm-level or in size-delay portfolio level.

Keywords:

Stock Price Delay, Business Group, Contagion Effect, Propping

Acknowledgments

This research is supported by Soonchunhyang University Research Fund.

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• The author Min-Su Kim is currently an assistant professor in department of economics and finance, Soonchunhyang University. He received B.A. in Economics from Korea University, Master in Economics from the University of Wisconsin, Madison, and Ph.D in finance from the Korea University Business School. His primary fields of interest are corporate finance, behavioral finance, and pricing theory.

• The author Heejeong Choi is an assistant professor in the Department of Business Administration at Sunmoon University. She graduated from Ewha Womans University’s Department of Economics and Graduate School of Business Administration. She earned a Ph.D. in finance from Korea University Business School. The research areas are corporate finance, corporate governance, and financial accounting.