Investigation of K-POP security prices

This study investigates the behaviour of the Music Copyright Property Index (MCPI), which aggregates the market values of all music securities traded on the Korean platform, Musicow. We find that MCPI returns are uncorrelated with the Korean stock and bond markets, as well as with the entertainment industry. However, MCPI returns are influenced by investor overreaction, leading to positive autocorrelation. In addition, the MCPI is affected by investor mood: returns tend to be higher in weeks with more sunshine and on Fridays, Saturdays, and Sundays. These findings reveal potential inefficiencies in the music securities market.