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 Jan 5th which has an aggregated short interest worth USD9.6bn.</li>
<li>We tabulate league table 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 Sk Hynix, Samsung Electron, Naver, Kia.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of Jan 5th which has an aggregated short interest worth USD9.6bn.
We tabulate league table 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 Sk Hynix, Samsung Electron, Naver, Kia.


KRX Short Interest Weekly (Jan 5th): Sk Hynix, Samsung Electron, Naver, Kia

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>DGB Financial Group's market cap makes it virtually impossible to get deleted even with Kakao Pay's GICS change in this June rebalancing.</li>
<li>It's unclear whether this has damaged the price impact of K200 inclusion. Nevertheless, the intensity of the pre-rebalancing flow wasn't aggressive, possibly due to the combination of factors, including this.</li>
<li>This suggests the possibility of an intense price impact resulting from a more concentrated flow right before the effective date, so we should prepare a setup that considers this.</li>
</ul>


DGB Financial Group's market cap makes it virtually impossible to get deleted even with Kakao Pay's GICS change in this June rebalancing.
It's unclear whether this has damaged the price impact of K200 inclusion. Nevertheless, the intensity of the pre-rebalancing flow wasn't aggressive, possibly due to the combination of factors, including this.
This suggests the possibility of an intense price impact resulting from a more concentrated flow right before the effective date, so we should prepare a setup that considers this.


Clarifying Market's Inaccurate Constituent Change Forecast in K200 Rebalancing with GICS Revision

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

<ul>
<li>As expected, <a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> replaces <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities (008560 KS)</a> in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the close on 31 March.</li>
<li>We estimate passive trackers will need to buy 5.15m shares (KRW 35.5bn; 12.1 days of ADV) of <a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> at the close of trading on 31 March.</li>
<li>
<a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> trades cheaper than its peers on forward PE and Price to Book. There could be relative outperformance over the next week.</li>
</ul>


As expected, DGB Financial Group (139130 KS) replaces Meritz Securities (008560 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the close on 31 March.
We estimate passive trackers will need to buy 5.15m shares (KRW 35.5bn; 12.1 days of ADV) of DGB Financial Group (139130 KS) at the close of trading on 31 March.

DGB Financial Group (139130 KS) trades cheaper than its peers on forward PE and Price to Book. There could be relative outperformance over the next week.


KOSPI200 Ad Hoc Index Rebalance: DGB Financial (139130 KS) To Replace Meritz Sec (008560 KS)

<ul>
<li>K200 ad hoc change announcement date should be March 30 as the buyback ends on March 28, and rebalancing trading should occur on March 31.</li>
<li>From a juice-level perspective, the entry point and timing for JB Financial showed much better performance from EGM approval rather than the announcement.</li>
<li>We should consider gradually building up positions from this point until March 30 announcement or one day after (T-1 effective) while utilizing Kodex Banks ETF to hedge our long positions.</li>
</ul>


K200 ad hoc change announcement date should be March 30 as the buyback ends on March 28, and rebalancing trading should occur on March 31.
From a juice-level perspective, the entry point and timing for JB Financial showed much better performance from EGM approval rather than the announcement.
We should consider gradually building up positions from this point until March 30 announcement or one day after (T-1 effective) while utilizing Kodex Banks ETF to hedge our long positions.


Meritz Merger Approved: Let's Now Discuss Key Dates & Entry Points For LONG DGB Financial

<ul>
<li>
<a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a> will replace <a href="https://www.smartkarma.com/entities/hyundai-greenfood-co-ltd" target="_blank" data-smartkarma-citation="entities:19560:1" rel="noopener">Hyundai Greenfood (005440 KS)</a> in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the close on 12 April.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> will replace <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities (008560 KS)</a> in early April.</li>
<li>Then we expect another 3 changes at the regular rebalance in June. The potential adds have moved sharply higher recently and there are flows from other index trackers too.</li>
</ul>



Samyang Foods (003230 KS) will replace Hyundai Greenfood (005440 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the close on 12 April.
We expect DGB Financial Group (139130 KS) will replace Meritz Securities (008560 KS) in early April.
Then we expect another 3 changes at the regular rebalance in June. The potential adds have moved sharply higher recently and there are flows from other index trackers too.


KOSPI200 Index Rebalance Preview: Changes in April & June

South Korea

JB Financial Group Co. Ltd., a holding company, provides a full range of consumer and commercial banking-related financial services.

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Jb Financial Group (175330 KS)

KRX Short Interest Weekly (Jan 5th): Sk Hynix, Samsung Electron, Naver, Kia

We analyzed KRX short interest report for the past week and highlighted short interest changes in Sk Hynix, Samsung Electron, Naver, Kia.

Ke Yan, CFA, FRM

Clarifying Market's Inaccurate Constituent Change Forecast in K200 Rebalancing with GICS Revision

This post clarifies the market's inaccurate constituent change forecast on the upcoming KOSPI 200 rebalancing in June with the GICS revision,...

Sanghyun Park

KOSPI200 Ad Hoc Index Rebalance: DGB Financial (139130 KS) To Replace Meritz Sec (008560 KS)

DGB Financial will be added to the KOSPI200 Index on 31 March. The stock trades cheaper than its peers but becomes short sell eligible from the...

Brian Freitas

Meritz Merger Approved: Let's Now Discuss Key Dates & Entry Points For LONG DGB Financial

Entry points and key dates for long positions in DGB Financial following KOSPI 200 ad hoc change due to the Meritz merger

Sanghyun Park

KOSPI200 Index Rebalance Preview: Changes in April & June

There will be 2 changes to the index in April and then another 3 in June. Flows are significant on some stocks. The adds have all moved higher in...

Brian Freitas

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