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

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<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

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> last week started to rally, so we want to look at WEEKLY resistance levels to evaluate where the current rally could end.</li>
<li>MRM Resistance Levels where the rally could stop are: 339, 348, 356.</li>
<li>Based on the current MRM pattern reading we expect the index to either roll down this week, or to rally for +2 more weeks (CC=+4) and then go down.</li>
</ul>


The KOSPI 200 INDEX last week started to rally, so we want to look at WEEKLY resistance levels to evaluate where the current rally could end.
MRM Resistance Levels where the rally could stop are: 339, 348, 356.
Based on the current MRM pattern reading we expect the index to either roll down this week, or to rally for +2 more weeks (CC=+4) and then go down.


EQD | KOSPI 200 Index Approaching Resistance

South Korea

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 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

EQD | KOSPI 200 Index Approaching Resistance

The KOSPI 200 is rallying, check MRM resistance levels to evaluate how far it can go before rolling down. The index should either decline this week...

Nico Rosti

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