Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of Aug 1st. The aggregated short interest was USD9.7bn.</li>
<li>We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in HANWHA SOLUTIONS, Hyundai Motor, Samsung SDI, LG H&amp;H, Hanwha Vision.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Aug 1st. The aggregated short interest was USD9.7bn.
We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in HANWHA SOLUTIONS, Hyundai Motor, Samsung SDI, LG H&amp;H, Hanwha Vision.


KRX Short Interest Weekly (Aug 1st): HANWHA SOLUTIONS, Hyundai Motor, Samsung SDI, LG H&H

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Aug 1st. The aggregated holding was USD626.1bn.</li>
<li>We estimate that foreign flows to be inflows of USD2,003mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in Samsung Electronics, Hanwha Ocean, Hyundai Motor, NAVER, Samsung H.I..</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Aug 1st. The aggregated holding was USD626.1bn.
We estimate that foreign flows to be inflows of USD2,003mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in Samsung Electronics, Hanwha Ocean, Hyundai Motor, NAVER, Samsung H.I..


KRX Foreign Holding Weekly (Aug 1st): Samsung Electronics, Hanwha Ocean, Hyundai Motor, NAVER

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

Event-Driven

<ul>
<li>Is the SSF base price automatically adjusted on ex-div day? No — Korea doesn’t mechanically adjust cash or futures base prices on ex-div, keeping dividend arb opportunities alive.</li>
<li>Could front-month futures flip into contango near ex-div? It’s rare but possible, especially with KRX’s aggressive SSF reshuffles and KOSDAQ Global additions shaking up liquidity and basis volatility.</li>
<li>Arb plays may arise from Korea’s new 27.5% div tax on payouts over 35%. Ex-div timing and payout uncertainty may create opportunities for dividend arb setups.</li>
</ul>


Is the SSF base price automatically adjusted on ex-div day? No — Korea doesn’t mechanically adjust cash or futures base prices on ex-div, keeping dividend arb opportunities alive.
Could front-month futures flip into contango near ex-div? It’s rare but possible, especially with KRX’s aggressive SSF reshuffles and KOSDAQ Global additions shaking up liquidity and basis volatility.
Arb plays may arise from Korea’s new 27.5% div tax on payouts over 35%. Ex-div timing and payout uncertainty may create opportunities for dividend arb setups.


Three Key Angles when Hunting Div Arb Setups in the Korean Market

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

Index Rebalance

HD Hyundai Marine Solution  / Index Rebalance

<ul>
<li>There will be 8 additions and 8 deletions for 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> at the next rebalance to be implemented at the close on 12 June.</li>
<li>The inclusion of <a href="https://www.smartkarma.com/entities/korea-district-heating-corp" target="_blank" data-smartkarma-citation="entities:8806:1" rel="noopener">Korea District Heating (071320 KS)</a> is a surprise and leads to an extra deletion - all the other adds are exactly in line with forecasts.</li>
<li>The list of adds has been stable for the last few months and the stocks have outperformed the deletes and the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> since the start of the review period.</li>
</ul>


There will be 8 additions and 8 deletions for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the next rebalance to be implemented at the close on 12 June.
The inclusion of Korea District Heating (071320 KS) is a surprise and leads to an extra deletion - all the other adds are exactly in line with forecasts.
The list of adds has been stable for the last few months and the stocks have outperformed the deletes and the KOSPI2 INDEX since the start of the review period.


KOSPI200 Index Rebalance: 8 Changes a Side with 2 Surprises

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>Korea Exchange announced its <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> rebalance changes on 27 May, <a href="https://www.smartkarma.com/profiles/sanghyun-park" target="_blank" data-smartkarma-citation="accounts:354" rel="noopener">Sanghyun Park</a> and <a href="https://www.smartkarma.com/profiles/douglas-kim" target="_blank" data-smartkarma-citation="accounts:342" rel="noopener">Douglas Kim</a> wrote extensively about this, here we want to focus purely on the tactical strategy.</li>
<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> pulled back last week, then surged on Monday and stagnated on Tuesday, the index <strong>has plenty of room to go higher according to our model.</strong>
</li>
<li>According to our model,<strong> the number of rallies vastly offset the number of pullbacks when this pattern is encountered (=pullbacks are rare), this could be read as a bullish indication.</strong>
</li>
</ul>


Korea Exchange announced its KOSPI 200 rebalance changes on 27 May, Sanghyun Park and Douglas Kim wrote extensively about this, here we want to focus purely on the tactical strategy.
The KOSPI 200 INDEX pulled back last week, then surged on Monday and stagnated on Tuesday, the index has plenty of room to go higher according to our model.

According to our model, the number of rallies vastly offset the number of pullbacks when this pattern is encountered (=pullbacks are rare), this could be read as a bullish indication.



KOSPI 200 Tactical Outlook After Index Rebalancing

South Korea

Dongwon Industries Co., Ltd. is a deep-sea fishing company.  The Company produces and distributes fish can goods and processed seafood products including tuna sashimi.

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Dongwon Industries (006040 KS)

KRX Short Interest Weekly (Aug 1st): HANWHA SOLUTIONS, Hyundai Motor, Samsung SDI, LG H&H

We analyzed KRX short interest report for the past week and highlighted short interest changes in HANWHA SOLUTIONS, Hyundai Motor, Samsung SDI, LG...

Ke Yan, CFA, FRM

KRX Foreign Holding Weekly (Aug 1st): Samsung Electronics, Hanwha Ocean, Hyundai Motor, NAVER

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Samsung Electronics, Hanwha Ocean, Hyundai Motor,...

Ke Yan, CFA, FRM

Three Key Angles when Hunting Div Arb Setups in the Korean Market

This post breaks down 3 key angles driving dividend arbitrage in the Korean market, highlighting factors that are shaping payout dynamics and...

Sanghyun Park

KOSPI200 Index Rebalance: 8 Changes a Side with 2 Surprises

There are 8 changes with most on expected lines. Cosmo AM&T will also be sold by the IT sector ETF. Shorts have increased in a few stocks since the...

Brian Freitas

KOSPI 200 Tactical Outlook After Index Rebalancing

The fresh KOSPI 200 rebalance changes may affect tactical strategies, this insight examines the index's current outlook using our probabilistic...

Nico Rosti

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