"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

According to analysis, the main reason for the more than twofold increase in KOSPI volatility in the first half of this year compared to a year ago was the supply-demand clash between the semiconductor industry, centered on so-called "Samjeon-Nyx" (Samsung Electronics + SK hynix), and investors. In particular, after the launch of single-stock leverage exchange-traded funds (ETFs), this supply-demand conflict—foreign institutions and institutions selling vs. individuals buying—has intensified even further. Conversely, the influence of macro variables such as oil prices, interest rates, and exchange rates—which were the main causes of volatility in the past—has weakened.

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According to the "Review of the Background Behind Rising Stock Market Volatility" report recently released by the Korea Capital Market Institute, daily return volatility on the KOSPI in the first half of this year reached 3.6%, more than double the 1.4% level recorded last year. Notably, in March and June, volatility climbed to 4.8% and 4.7%, respectively—surpassing even the 4.2% seen in March 2020, when stock prices plunged due to the COVID-19 pandemic shock.

Even compared with the stock markets of 36 major countries, KOSPI volatility stood out as markedly high. Senior researchers Kim Joonseok and Jang Geunhyuk, authors of the report, assessed: "While volatility has increased across the board, it does not compare with that of Korea. This is a somewhat exceptional situation, suggesting Korea-specific factors are at play." During the same period, volatility in the Japanese stock market (TOPIX) rose modestly from 1.3% to 1.5%, and in Taiwan (TAIEX) from 1.5% to 1.8%. In contrast, volatility in the U.S. (S&P500) actually dropped from 1.2% to 0.9%.

The report further analyzed the causes of rising volatility by period. Immediately following the U.S.-Iran conflict, macro variables such as oil prices, interest rates, and exchange rates heightened market volatility. However, the influence of these variables has since weakened. In their place, the growing share of Samsung Electronics and SK hynix within KOSPI, volatility in the global memory semiconductor industry, and supply-demand clashes among different investor types have emerged as the core factors shaking the market.

Specifically, as the market capitalization share of Samjeon-Nyx expanded rapidly, the KOSPI index has become more sensitive to risks inherent to the semiconductor industry. The report states, "Since the beginning of 2026, the sharp rise in the stock index has been led by increases in these two large-cap stocks. The combined market capitalization share of Samjeon-Nyx in KOSPI rose from 23% at the beginning of 2025 to 24% at the start of 2026 and reached 55% by the end of June." It adds, "The issue is that volatility for both stocks has surged this year, and as companies in the same semiconductor sector, their price movements are highly synchronized. The correlation coefficient of their returns stands at 0.82."

Samjeon-Nyx also accounted for a substantial portion of daily return volatility in KOSPI. Excluding Samjeon-Nyx, daily return volatility in the KOSPI 200 rose only 1.5 percentage points, from 1.4% last year to 2.9%. Considering the overall KOSPI figure increased by 2.3 percentage points, the influence of these two stocks is evident. The report evaluated, "About one-third of the increase in KOSPI 200 volatility in the first half of the year can be attributed to volatility in Samsung Electronics and SK hynix." Furthermore, as the share of these two companies grows, not only is the risk diversification effect of the index weakened, but the index is more exposed to the unique risks associated with the semiconductor industry.

Additionally, starting from the second half of last year, volatility among major memory semiconductor firms has also increased, exerting a significant impact. The report assessed, "Greater uncertainty following the rapid expansion of the global artificial intelligence (AI) ecosystem has been transmitted to the market." Diverging expectations regarding the growth potential and profitability of AI have translated volatility in the global memory semiconductor industry into fluctuations in Korea's stock market.

Meanwhile, the report identified diverging supply-demand directions and intensifying supply-demand strength among different investor groups as additional background factors contributing to increased stock market volatility. Looking at buying and selling patterns by investor segment this year, foreigners and institutional investors have been net sellers, while individuals and brokerage firms have been net buyers—a clear divergence. In the first half of this year, cumulative net sales by foreign investors and institutions on KOSPI reached 153 trillion won and 37 trillion won, respectively. Cumulative net purchases by individuals and securities firms (financial investment) totaled 73 trillion won and 92 trillion won, respectively. The report summarized, "The increased size of transactions has also heightened supply-demand intensity, resulting in a strong clash between institutional selling and retail buying."

In particular, separate analysis of the period following the launch of single-stock leverage ETFs found that this supply-demand clash among investor groups was the largest driver of increased volatility. While foreigners and institutional investors moved to realize profits and reduce their portfolio weights, individual investors continued to buy—focused on direct investment and equity ETFs—widening the order imbalance. Regression analysis found that, since the end of May this year, the contribution of investor supply-demand conflicts to increased volatility was 0.75 percentage points, the highest among considered factors, while memory semiconductor volatility accounted for 0.13 percentage points. Conversely, stabilized macro variables such as interest rates, oil prices, and exchange rates actually worked to decrease volatility.

However, the report also cautioned that, contrary to market concerns, it is premature to conclude that the introduction of single-stock ETFs has directly amplified volatility. "The sample period following the introduction of single-stock ETFs covers only 32 trading days, which is insufficient to statistically validate the significance of dummy variables," the report stated, adding, "A more precise analysis of the impact of single-stock ETFs should be conducted once sufficient data has been accumulated."

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