Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)

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A Study on Calendar Effect of Korea Composite Stock Index in the 21st Century

Authors
Yutong Song1, *
1The Chinese University of Hong Kong, Shenzhen, 518100, China
*Corresponding author. Email: 122090477@link.cuhk.edu.cn
Corresponding Author
Yutong Song
Available Online 29 April 2026.
DOI
10.2991/978-94-6239-642-5_22How to use a DOI?
Keywords
Calendar effects; COVID-19; 1997 Asian financial crisis; 2008 financial crisis/Iceland crisis; Stock market of South Korea
Abstract

To address the research gap in studying the evolution of calendar effects around major events, this paper analyzes South Korea’s stock market data from 2000 to 2025. By employing statistical methods including non-parametric tests, time series ARMA modeling, and sliding window analysis, we explore the distribution patterns and temporal evolution of weekly, monthly, and holiday effects within the observation period. The findings reveal that while South Korea’s stock market exhibits relatively pronounced calendar effects during specific windows, these phenomena demonstrate significant volatility and short-lived characteristics due to factors such as international event impacts, domestic market structure, foreign capital inflows, and geopolitical tensions. Notably, recent years have seen a general trend of diminishing these effects.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)
Series
Advances in Economics, Business and Management Research
Publication Date
29 April 2026
ISBN
978-94-6239-642-5
ISSN
2352-5428
DOI
10.2991/978-94-6239-642-5_22How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yutong Song
PY  - 2026
DA  - 2026/04/29
TI  - A Study on Calendar Effect of Korea Composite Stock Index in the 21st Century
BT  - Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)
PB  - Atlantis Press
SP  - 204
EP  - 222
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-642-5_22
DO  - 10.2991/978-94-6239-642-5_22
ID  - Song2026
ER  -