Understanding BOXPI — Industry portfolio perspectives

Myeong Hyeon Kim; Young Min Kim; Kisung Yang

doi:10.1016/j.asieco.2022.101500

Understanding BOXPI — Industry portfolio perspectives

Myeong Hyeon Kim
, Young Min Kim
, Kisung Yang^*

^*Corresponding author for this work

Department of International Trade

Research output: Contribution to journal › Journal article › peer-review

3 Scopus citations

Abstract

“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.

Original language	English
Article number	101500
Journal	Journal of Asian Economics
Volume	81
DOIs	https://doi.org/10.1016/j.asieco.2022.101500
State	Published - 2022.08

Keywords

Bayesian variable selection
BOXPI
Industry momentum
Sector rotation

Quacquarelli Symonds(QS) Subject Topics

Accounting & Finance
Economics & Econometrics

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10.1016/j.asieco.2022.101500

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@article{a8d1527544f64f3db5f2451a12e3cefa,

title = "Understanding BOXPI — Industry portfolio perspectives",

abstract = "“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.",

keywords = "Bayesian variable selection, BOXPI, Industry momentum, Sector rotation",

author = "Kim, \{Myeong Hyeon\} and Kim, \{Young Min\} and Kisung Yang",

note = "Publisher Copyright: {\textcopyright} 2022 Elsevier Inc.",

year = "2022",

month = aug,

doi = "10.1016/j.asieco.2022.101500",

language = "English",

volume = "81",

journal = "Journal of Asian Economics",

issn = "1049-0078",

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TY - JOUR

T1 - Understanding BOXPI — Industry portfolio perspectives

AU - Kim, Myeong Hyeon

AU - Kim, Young Min

AU - Yang, Kisung

PY - 2022/8

Y1 - 2022/8

N2 - “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.

AB - “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.

KW - Bayesian variable selection

KW - BOXPI

KW - Industry momentum

KW - Sector rotation

UR - https://www.scopus.com/pages/publications/85133734287

U2 - 10.1016/j.asieco.2022.101500

DO - 10.1016/j.asieco.2022.101500

M3 - Journal article

AN - SCOPUS:85133734287

SN - 1049-0078

VL - 81

JO - Journal of Asian Economics

JF - Journal of Asian Economics

M1 - 101500

ER -

Understanding BOXPI — Industry portfolio perspectives

Abstract

Keywords

Quacquarelli Symonds(QS) Subject Topics

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