"Samjeon-Nix Shakes the KOSPI: The Real Reason Behind Volatility Doubling"

Review of the Background Behind Rising Stock Market Volatility
KOSPI Return Volatility at 3.6% in the First Half
"One-Third of Volatility Driven by SamjeonNix"
Supply and Demand Conflict: Institutional and Foreign Selling vs. Individual Buy

An analysis has found that the main reason KOSPI volatility more than doubled in the first half of this year compared to a year ago is due to the supply-demand clash between the semiconductor industry—centered on the so-called 'SamjeonNix' (Samsung Electronics + SK hynix)—and investors. In particular, since the launch of single-stock leveraged exchange-traded funds (ETFs), the supply-demand conflict has intensified further, characterized by 'institutional and foreign entities selling vs. individuals buying.' In contrast, the influence of macroeconomic variables such as oil prices, interest rates, and exchange rates—which had been the primary causes of past volatility—has diminished.

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According to the recently released report titled "Review of the Background of Rising Stock Market Volatility" by the Korea Capital Market Institute, KOSPI daily return volatility in the first half of this year was 3.6%, more than double last year's 1.4%. Notably, in March and June of this year, it stood at 4.8% and 4.7%, respectively, surpassing that of March 2020 (4.2%), when the COVID-19 pandemic shock led to a sharp stock price decline.

Compared to the stock markets of 36 major countries, KOSPI volatility has become particularly pronounced. Senior Research Fellows Junseok Kim and Geunhyuk Jang, who authored the report, observed, "While volatility has increased across the board, it does not match the level seen in Korea," and assessed, "This is a somewhat unusual situation influenced by Korea-specific market factors." During the same period, volatility in the Japanese (TOPIX) stock market rose marginally from 1.3% to 1.5%, and in Taiwan (Taiex) from 1.5% to 1.8%. In the United States (S&P 500), volatility even declined from 1.2% to 0.9%.

The report separates the causes of increased volatility by period and found that immediately after the U.S.-Iran conflict, macro variables such as oil prices, interest rates, and exchange rates boosted market volatility. However, the influence of these factors has since waned. Instead, the rise in Samsung Electronics and SK hynix's weighting within the KOSPI, volatility in the global memory semiconductor industry, and supply-demand clashes by investor type have emerged as the primary market drivers.

Notably, as the market capitalization weight of SamjeonNix soared, KOSPI became more sensitive to risks unique to the semiconductor industry. The report notes, "The sharp rise in stock indices that began in early 2026 was driven by the upward movement of these two major stocks," adding, "The share of SamjeonNix in KOSPI market capitalization grew from 23% in early 2025 to 24% in early 2026, and to 55% by the end of June 2027." The report continued, "The problem is that the volatility of these two stocks has increased significantly this year, and as both are in the semiconductor sector, their price correlation is extremely high." It added, "The correlation coefficient of returns for these two stocks stands at 0.82."

The proportion of SamjeonNix in KOSPI daily return volatility is also significant. Excluding SamjeonNix, the daily return volatility of KOSPI200 rose by only 1.5 percentage points, from 1.4% last year to 2.9%. Given that volatility across all of KOSPI rose by 2.3 percentage points, this highlights the impact of these two stocks. The report stated, "About one-third of the increase in KOSPI200 volatility in the first half can be attributed to the volatility of Samsung Electronics and SK hynix." Furthermore, as these two stocks have increased in weighting, not only is the risk diversification effect of the index diminished, but the index has become more exposed to risks unique to the semiconductor industry.

Additionally, the rising volatility among major memory semiconductor companies since the second half of last year has also been a contributing factor. The report assessed this as "a result of increased uncertainty that has emerged following the rapid expansion of the global artificial intelligence (AI) ecosystem." Contrasting expectations for the growth and profitability of AI have transferred the global memory semiconductor industry’s volatility to the domestic stock market.

Alongside this, divergent supply-demand directions and intensified supply-demand dynamics by investor type have also been identified as key drivers of stock market volatility. Examining the buying and selling patterns by investor group reveals that, this year, while foreign and institutional investors have been net sellers, individual investors and the securities industry have been net buyers, showing a distinctly polarized pattern. In the first half of this year, cumulative net selling by foreign investors and institutions in KOSPI amounted to KRW 153 trillion and KRW 37 trillion, respectively. The cumulative net buying by individuals and securities firms (financial investors) reached KRW 73 trillion and KRW 92 trillion, respectively. The report summed up, "As transaction amounts have increased, so too has the intensity of supply-demand," and, "There is, in effect, a strong clash between institutional investors' selling and individual investors' buying."

In a separate analysis of the period after the launch of single-stock leveraged ETFs, the supply-demand clash among investors was identified as the main cause of heightened volatility. Foreign and institutional investors moved to realize profits and reduce portfolio weights, while individual investors continued buying, focusing on direct investments and stock-type ETFs, resulting in an expanding order imbalance. According to regression analysis, since the end of May this year, supply-demand clashes contributed the most to the increase in volatility—by 0.75 percentage points—while memory semiconductor volatility contributed 0.13 percentage points. On the other hand, as macro variables such as interest rates, oil prices, and exchange rates stabilized, they actually helped reduce volatility.

However, the report also noted that it is difficult to assert definitively that single-stock ETFs have amplified volatility, contrary to some market concerns. The report added, "Since there are only 32 trading days of data since single-stock ETFs were introduced, this is not enough to statistically validate the dummy variable," and, "A more thorough analysis can only be conducted after sufficient data on the impact of single-stock ETFs has been accumulated."

This content was produced with the assistance of AI translation services.