Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>Korea Exchange announced KOSPI 200 rebalance additions and deletions today. There were 14 new additions and deletions (7 each).</li>
<li>Some surprises in KOSPI 200 rebalance included addition of Seah Besteel and deletion of HDC Hyundai Development. </li>
<li>There were a lot more additions and deletions in KOSDAQ 150 (34 total additions and deletions). Among the KOSDAQ 150 additions included Neowiz, JNTC, Lunit, and Jeio.</li>
</ul>


Korea Exchange announced KOSPI 200 rebalance additions and deletions today. There were 14 new additions and deletions (7 each).
Some surprises in KOSPI 200 rebalance included addition of Seah Besteel and deletion of HDC Hyundai Development. 
There were a lot more additions and deletions in KOSDAQ 150 (34 total additions and deletions). Among the KOSDAQ 150 additions included Neowiz, JNTC, Lunit, and Jeio.


KOSPI 200 and KOSDAQ 150 Rebalance Additions and Deletions Announced (December 2023)

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Although not explicitly outlined, it appears practical to interpret that we should filter out stocks that have entered a trading suspension among those receiving a WARNING designation.</li>
<li>The dynamics of KOSPI 200 flow trading have become notably tumultuous due to the abrupt short selling ban and additional liquidity halts imposed on market makers in the futures market.</li>
<li>The manifestation of price impact due to passive flows may be significantly delayed. So, we should prepare for this week's announcement day setup targeting the delayed impact of passive flows.</li>
</ul>


Although not explicitly outlined, it appears practical to interpret that we should filter out stocks that have entered a trading suspension among those receiving a WARNING designation.
The dynamics of KOSPI 200 flow trading have become notably tumultuous due to the abrupt short selling ban and additional liquidity halts imposed on market makers in the futures market.
The manifestation of price impact due to passive flows may be significantly delayed. So, we should prepare for this week's announcement day setup targeting the delayed impact of passive flows.


KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

<ul>
<li>The coming week has a lot of review periods ending - <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, among others.</li>
<li>The <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TOPIX</a> rebalance will be implemented on Monday while the <a href="https://www.smartkarma.com/entities/global-x-lithium-battery-tech-etf" target="_blank" data-smartkarma-citation="entities:32745:1" rel="noopener">Global X Lithium &amp; Battery Tech ETF (LIT US)</a> and IDX indices will rebalance at the close on Tuesday.</li>
<li>There were outflows from Emerging Market ETFs including <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>, <a href="https://www.smartkarma.com/entities/ishares-core-msci-emerging-mar" target="_blank" data-smartkarma-citation="entities:32967:1" rel="noopener">iShares Core Emerging Mar (IEMG),</a> <a href="https://www.smartkarma.com/entities/schwab-emerging-markets-equi" target="_blank" data-smartkarma-citation="entities:32879:1" rel="noopener">Schwab Emerging Markets Equi (SCHE)</a> and <a href="https://www.smartkarma.com/entities/ishares-edge-msci-min-vol-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:725:1" rel="noopener">IShares Edge Min Vol Emerging Markets ETF (EEMV)</a>.</li>
</ul>


The coming week has a lot of review periods ending - KOSPI 200, KOSDAQ 150, CSI 300, CSI 500, SSE50, STAR50, ChiNext and SENSEX, among others.
The TOPIX rebalance will be implemented on Monday while the Global X Lithium &amp; Battery Tech ETF (LIT US) and IDX indices will rebalance at the close on Tuesday.
There were outflows from Emerging Market ETFs including iShares Emerging Markets (EEM), iShares Core Emerging Mar (IEMG), Schwab Emerging Markets Equi (SCHE) and IShares Edge Min Vol Emerging Markets ETF (EEMV).


Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

<ul>
<li>With the review period nearly complete, we expect 7 changes to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> in December. Couple of changes are low probability though.</li>
<li>The Materials sector could be the biggest gainer at the rebalance while nearly all deletions could come from the Consumer Discretionary sector.</li>
<li>The impact on the potential inclusion ranges from 0.15-15 days of ADV while the impact on the potential deletions varies from 1.7-8.1 days of ADV.</li>
</ul>


With the review period nearly complete, we expect 7 changes to the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) in December. Couple of changes are low probability though.
The Materials sector could be the biggest gainer at the rebalance while nearly all deletions could come from the Consumer Discretionary sector.
The impact on the potential inclusion ranges from 0.15-15 days of ADV while the impact on the potential deletions varies from 1.7-8.1 days of ADV.


KOSPI200 Index Rebalance Preview: The Tail End

<ul>
<li>Korea Exchange is planning to change the criteria for rebalancing stocks in the KOSPI 200 index. </li>
<li>The purpose of this change is to prevent stocks that surge ahead of the actual KOSPI 200 inclusion but fall significantly after the inclusion announcement.</li>
<li>We think there is a 70-80%+ probability that POSCO DX and L&amp;F Co will be included in KOSPI 200 index in December 2023.</li>
</ul>


Korea Exchange is planning to change the criteria for rebalancing stocks in the KOSPI 200 index. 
The purpose of this change is to prevent stocks that surge ahead of the actual KOSPI 200 inclusion but fall significantly after the inclusion announcement.
We think there is a 70-80%+ probability that POSCO DX and L&amp;F Co will be included in KOSPI 200 index in December 2023.


KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

South Korea

YES24 Co.,Ltd is an on-line retailer.  The company markets and sells books. The company also provides online advertising service.

ISE Commerce Co., Ltd. provides overseas online shopping service.  The company allows customers to buy overseas items with foreign registered credit cards acting as buying agent on behalf of them.  The service also includes local language description and delivery.

Shinsegae International Co., Ltd. was spun off from Shinsegae in 1996.  The company imports and distributes famous foreign brands and manufactures/distribut es domestic brand.  The Company's line of business includes the wholesale distribution of men's and women's apparel.

Cuckoo Homesys Co. Ltd. manufactures kitchen appliances. The Company produces and sells electric pressure cookers, dishwashers, blenders, water purifiers, and other products. Cuckoo Homesys also provides kitchen appliances exporting services. Cuckoo Homesys markets its products worldwide.

Kolao Holdings retails new and used cars, and provided repairs and maintenance services in Laos.  The company also retails motorcycles and automobile parts.

Seobu T&D operates a truck terminal and gas stations. The Company also provides freight and real estate leasing services.

LS Networks Co., Ltd. manufactures leather and athletic shoes, sports apparel, golf accessories, and leisure items.  The Company also operates a building leasing business.

Lotte Himart Company, Ltd. offers retailing and distribution services for consum er electronics and household appliances.  The Company offers a wide range of ele ctronic goods including TV, cell phones, computers, printers, GPS, digital camer as and MP3 as well as household appliances including refrigerators, microwaves, hair dryers and vacuum cleaners.

GwangjuShinsegae Co., Ltd. manages department store in Gwangju city located in southwest of Korea.  The Company's merchandise includes men and women's clothes, foods, and consumer goods.

Deutsch Motors Inc. operates automobile dealership for new and used cars.  The Company also rents and leases the motor vehicles and provides after-sales services.  Deutsch Motors' cars include BMW and BMW's Mini.

BELLUNA CO., LTD. is a mail-order company offering clothing, household goods, and hobby goods through catalogs.  The Company also provides financing service.

Oisix ra daichi Inc. sells various food products online. Among other products, the company sells vegetables, fruits, fish, meat, milk, and ready-made food.

boohoo group plc is an online fashion retailer. The Company offers women's clothing and apparel through its website. boohoo.com ships its products around the world.

On the Beach Group PLC is an online retailer of beach vacations. The Company aims to provide customers in the United Kingdom with affording short-haul holidays. On the Beach Group's technology platform allows customers to package their vacation details, including flights and hotel combinations.

Dustin Group AB offers IT products and related services to businesses, governments and individuals. The Company sells computers, printers, copiers, tablets, mobile phones and other electronics and accessories.

Kogan.com Ltd operates as a portfolio of retail and services businesses that includes retail, marketplace, mobile, broadband, insurance, and travel. The Company focuses on making in-demand products and services. Kogan.com specializes in consumer brand renowned for price leadership through digital solutions.

Stitch Fix, Inc. operates as an online subscription and personal shopping platform. The Company offers shirts, jackets, sweaters, blazers, leggings, vests, scarfs, jeans, loafers, and boots for men and women. Stitch Fix serves customers in the United States.

Ci Medical Co.,Ltd. manufactures and sells dental care products by mail order. The Company provides dental care products, toothbrushes, and other products. Ci Medical also operates dental magazines publishing.

Qurate Retail, Inc. provides e-commerce services. The Company engages in the video and digital commerce via television networks and e-commerce sites, social pages, mobile application, print catalogs, and in-store destinations. Qurate Retail serves customers worldwide.

Amway (Malaysia) Holdings Berhad is a direct marketing company. Through its subsidiaries, the Company distributes consumer products under the AMWAY trademark in Malaysia. The four product lines distributed are nutrition and wellness, personal care, home care, and home tech.

Hyundai Home Shopping Network Corporation  mechandises consumer products. The Company's products include clothes, home appliances, food, and luxuries. Hyundai Home Shopping retails through TV home shoppoing channels, catalogs, and the Inte rnet shopping mall.

Hyundai Home Shopping Network (057050 KS)

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Hyundai Home Shopping Network (057050 KS)

KOSPI 200 and KOSDAQ 150 Rebalance Additions and Deletions Announced (December 2023)

Korea Exchange announced KOSPI 200 rebalance additions and deletions today. There were 14 new additions and deletions (7 each). There were a lot...

Douglas Kim

KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

This post clarifies recent rule changes in the KOSPI 200 and examines trading opportunities that may arise from a potential delay in price impact...

Sanghyun Park

Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

KOSPI200 Index Rebalance Preview: The Tail End

There could be 7 changes for the KOSPI200 in Dec. There could be changes driven by index methodology, section transfers, alleged stock manipulation...

Brian Freitas

KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

We believe there is a 70-80%+ probability that POSCO DX and L&F Co will be included in KOSPI 200 index in December 2023.

Douglas Kim

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