Understanding BOXPI-Industry portfolio perspectives

초록

''BOXPI"is an acronym for the boxed Korea Composite Stock Price Index (KOSPI). Uniquely, KOSPI has remained within an extremely narrow range during 2012-2016 despite the global liquidity expansion. This study develops a continuous-time model to describe sector rotation and interprets the BOXPI phenomenon from industry portfolio perspectives. We find that the upper bound of the BOXPI can be interpreted as a consequence of the rotations from cyclical to defensive sector in the Korean stock market during that period. Furthermore, a Bayesian variable selection analysis shows that the lower bound of the BOXPI can be regarded as a result of low price-to-book ratio of the KOSPI in the BOXPI period.

키워드