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>Insiders must disclose transaction details, complete deals within 30 days, limit deviations to 30%, and submit disclosures 30 days before transactions.</li>
<li>Financial investors, including institutional ones, are exempt. This encompasses local pension funds (including NPS) and foreign financial investors. Deals under 1% of total shares and less than ₩5B are exempt.</li>
<li>Confirmation of the timeline indicates many block deals before July. We should hunt potential deals for proactive setups. Also, we should monitor basis widening in futures due to short-selling ban.</li>
</ul>


Insiders must disclose transaction details, complete deals within 30 days, limit deviations to 30%, and submit disclosures 30 days before transactions.
Financial investors, including institutional ones, are exempt. This encompasses local pension funds (including NPS) and foreign financial investors. Deals under 1% of total shares and less than ₩5B are exempt.
Confirmation of the timeline indicates many block deals before July. We should hunt potential deals for proactive setups. Also, we should monitor basis widening in futures due to short-selling ban.


Confirmed: Conditions & Schedule of Block Deals Pre-Disclosure Rules in Korea

<ul>
<li>The rollout of the Korea Value-Up Index has encountered a minor delay. Completion of the index is slated for 3Q, with ETFs scheduled for release in 4Q.</li>
<li>The government will encourage the National Pension Service to utilize it as a benchmark.</li>
<li>Dividend payout ratio, dividend yield, PER, and cash flow will be included as screening factors for this index, in addition to the already known factors of PBR and ROE.</li>
</ul>


The rollout of the Korea Value-Up Index has encountered a minor delay. Completion of the index is slated for 3Q, with ETFs scheduled for release in 4Q.
The government will encourage the National Pension Service to utilize it as a benchmark.
Dividend payout ratio, dividend yield, PER, and cash flow will be included as screening factors for this index, in addition to the already known factors of PBR and ROE.


Details of Korea Value-Up Initiatives & Index, Announced This Morning

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 been rallying since January 2022, roughly up +22.5%, the rally can continue, but soon there could be a pullback, possibly this coming week.</li>
<li>If the index falls from its current highs, where are the best support levels to go LONG again?</li>
<li>The price area between 355 and 345 is where the index could find support and resume the uptrend.</li>
</ul>


The KOSPI 200 INDEX has been rallying since January 2022, roughly up +22.5%, the rally can continue, but soon there could be a pullback, possibly this coming week.
If the index falls from its current highs, where are the best support levels to go LONG again?
The price area between 355 and 345 is where the index could find support and resume the uptrend.


EQD | Where to BUY the KOSPI On The Upcoming Pullback

<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)

Confirmed: Conditions & Schedule of Block Deals Pre-Disclosure Rules in Korea

This post details specific conditions and the implementation schedule for Korea's block deals pre-disclosure rules, officially confirmed by the...

Sanghyun Park

Details of Korea Value-Up Initiatives & Index, Announced This Morning

This post details the official announcement of the Korean government this morning regarding the Korea Value-Up initiatives and index.

Sanghyun Park

EQD | Where to BUY the KOSPI On The Upcoming Pullback

The KOSPI 200's rally could experience a pullback soon, maybe this coming week. The best support levels to go LONG during the pullback are between...

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)

Confirmed: Conditions & Schedule of Block Deals Pre-Disclosure Rules in Korea

This post details specific conditions and the implementation schedule for Korea's block deals pre-disclosure rules, officially confirmed by the...

Sanghyun Park

Details of Korea Value-Up Initiatives & Index, Announced This Morning

This post details the official announcement of the Korean government this morning regarding the Korea Value-Up initiatives and index.

Sanghyun Park

EQD | Where to BUY the KOSPI On The Upcoming Pullback

The ​KOSPI 200's rally could experience a pullback soon, maybe this coming week. The best support levels to go LONG during the pullback are between...

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's rally could experience a pullback soon, maybe this coming week. The best support levels to go LONG during the pullback are between...