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

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>Today's reveal includes two main parts: first, setting up internal balance management for investors; second, building the detection system to block naked short-selling.</li>
<li>FSC and FSS haven't provided a set date for system completion but suggest it may start late this year or early next year. Uncertainty remains on overseas investor participation.</li>
<li>A decision on short selling is due in June, but no confirmation was given today. However, the local market anticipates short selling resuming before this system is fully operational.</li>
</ul>


Today's reveal includes two main parts: first, setting up internal balance management for investors; second, building the detection system to block naked short-selling.
FSC and FSS haven't provided a set date for system completion but suggest it may start late this year or early next year. Uncertainty remains on overseas investor participation.
A decision on short selling is due in June, but no confirmation was given today. However, the local market anticipates short selling resuming before this system is fully operational.


Today, Korean Regulators Unveiled an Electronic System Aimed at Blocking Naked Short-Selling

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<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> has closed down for 3 consecutive weeks (CC=-3), it is WEEKLY oversold.</li>
<li>If the index rallies this week, it could reach &gt;362 (Q2 resistance) and that could be enough to end the bounce.</li>
<li>Our hypothesis is that the index will pull back again, after the bounce, next week (if this week ends with a positive WEEKLY close).</li>
</ul>


The KOSPI 200 INDEX has closed down for 3 consecutive weeks (CC=-3), it is WEEKLY oversold.
If the index rallies this week, it could reach &gt;362 (Q2 resistance) and that could be enough to end the bounce.
Our hypothesis is that the index will pull back again, after the bounce, next week (if this week ends with a positive WEEKLY close).


EQD | KOSPI 200 WEEKLY Bounce: Rally or Not?

<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> is currently pulling back for a 2nd week in a row.</li>
<li>This could be an opportunity to go LONG,  if the pullback is limited to this (or at most the next) week closing down and reaching targets between 365 and 338.</li>
<li>If the index goes down for 3 weeks and reached below 343 caution is advised: the pullback may be larger than expected in that case.</li>
</ul>


The KOSPI 200 INDEX is currently pulling back for a 2nd week in a row.
This could be an opportunity to go LONG,  if the pullback is limited to this (or at most the next) week closing down and reaching targets between 365 and 338.
If the index goes down for 3 weeks and reached below 343 caution is advised: the pullback may be larger than expected in that case.


EQD | KOSPI 200 WEEKLY Buy-The-Dip Opportunity

<ul>
<li>There is a prevailing sentiment in the local market that short selling by market makers (MM) and liquidity providers (LP) will effectively be prohibited very shortly.</li>
<li>The widening of the futures basis extends the influence of futures on the spot market prices. This is precisely where trading opportunities that we should be keenly observing may arise.</li>
<li>It also leads to a significant widening of ETF tracking errors due to the direct sell-off of underlying shares. We must capitalize on extreme spreads in ETFs.</li>
</ul>


There is a prevailing sentiment in the local market that short selling by market makers (MM) and liquidity providers (LP) will effectively be prohibited very shortly.
The widening of the futures basis extends the influence of futures on the spot market prices. This is precisely where trading opportunities that we should be keenly observing may arise.
It also leads to a significant widening of ETF tracking errors due to the direct sell-off of underlying shares. We must capitalize on extreme spreads in ETFs.


New Phase in Korean Short Selling: Immediate Impact of MM and LP Short Selling Ban

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>Korea banned all short selling in March 2020 and resumed short selling only on <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> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> index constituents in May 2021.</li>
<li>News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.</li>
<li>There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.</li>
</ul>


Korea banned all short selling in March 2020 and resumed short selling only on KOSPI 200 and KOSDAQ 150 index constituents in May 2021.
News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.
There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.


Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Today, Korean Regulators Unveiled an Electronic System Aimed at Blocking Naked Short-Selling

Today, Korean regulators, the Financial Services Commission and the Financial Supervisory Service, unveiled the long-awaited computer system...

Sanghyun Park

EQD | KOSPI 200 WEEKLY Bounce: Rally or Not?

The KOSPI 200 INDEX is oversold WEEKLY and may rally to >362, but not much further up than that: ending the bounce this week, it could pull back...

Nico Rosti

EQD | KOSPI 200 WEEKLY Buy-The-Dip Opportunity

KOSPI 200 pulling back for 2nd week, potential opportunity to go LONG if pullback limited to reaching targets between 365 and 338. Caution advised...

Nico Rosti

New Phase in Korean Short Selling: Immediate Impact of MM and LP Short Selling Ban

This post explores the immediate market impact resulting from the potential prohibition of short selling by Market Makers (MM) and Liquidity...

Sanghyun Park

Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Media reports indicate that there could be a temporary short sell ban in Korea. This could lead to futures backwardation, market manipulation and a...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Today, Korean Regulators Unveiled an Electronic System Aimed at Blocking Naked Short-Selling

Today, Korean regulators, the Financial Services Commission and the Financial Supervisory Service, unveiled the long-awaited computer system...

Sanghyun Park

EQD | KOSPI 200 WEEKLY Bounce: Rally or Not?

​The KOSPI 200 INDEX is oversold WEEKLY and may rally to >362, but not much further up than that: ending the bounce this week, it could pull back...

Nico Rosti

EQD | KOSPI 200 WEEKLY Buy-The-Dip Opportunity

​KOSPI 200 pulling back for 2nd week, potential opportunity to go LONG if pullback limited to reaching targets between 365 and 338. Caution advised...

Nico Rosti

New Phase in Korean Short Selling: Immediate Impact of MM and LP Short Selling Ban

This post explores the immediate market impact resulting from the potential prohibition of short selling by Market Makers (MM) and Liquidity...

Sanghyun Park

Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Media reports indicate that there could be a temporary short sell ban in Korea. This could lead to futures backwardation, market manipulation and a...

Brian Freitas

The KOSPI 200 INDEX is oversold WEEKLY and may rally to >362, but not much further up than that: ending the bounce this week, it could pull back...

KOSPI 200 pulling back for 2nd week, potential opportunity to go LONG if pullback limited to reaching targets between 365 and 338. Caution advised...