With the stock futures and options expiration on the 10th and the regular KRX sector index rebalancing on the 11th, a large-scale movement of funds is expected in the domestic stock market. Along with more than 20 trillion won in third-quarter dividends, the "cap per stock" (Cap 20%) readjustment flows for major sector ETFs are set to flood in all at once near the close.
◇ 7.6 trillion won in semiconductor ETF funds… sell large caps, buy component and equipment suppliers
The area most affected by the supply-demand shock is the KRX Semiconductor Index. To prevent concentration in specific names, KRX sector indexes cap the weight of a single stock at 20%. Although ETFs tracking the KRX Semiconductor Index hold as much as 7.6 trillion won, the weights of SK hynix (about 36.8%) and Samsung Electronics (about 23%) far exceed the cap, making mechanical selling inevitable.
With this weight adjustment, estimated selling of about 124 billion–145 billion won in SK hynix(000660) and about 20 billion–24 billion won in Samsung Electronics will take place. In contrast, funds are expected to flow into HANMI Semiconductor(042700) (30 billion won inflow), Jusung Engineering(036930) (18 billion won inflow), TES (14 billion won inflow), LEENO Industrial, EO Technics and other small and mid-cap component and equipment suppliers.
Yoon Jae-hong, an analyst at Mirae Asset Securities, said, "Due to the per-stock weight cap, selling will occur in SK hynix and Samsung Electronics, while funds will flow into HANMI Semiconductor," adding, "Turnover from per-stock weight adjustments (1.8 trillion won) will have a much larger impact on the market than new inclusions and exclusions."
The supply-demand reshuffle could spread across major industries such as secondary batteries and biotech. In the KRX Secondary Battery TOP10 Index, weight reductions will proceed for Samsung SDI (about 63.8 billion won in selling) and Hyundai Motor (about 20 billion won in selling).
In biotech, funds will flow into Hanmi Pharmaceutical (86 billion won inflow) and Sam Chun Dang Pharm (66 billion won inflow), while selling will emerge in Alteogen (106 billion won in selling) and Celltrion (68 billion won in selling).
These ETF rebalancing trades will be executed in bulk just before the close (closing call auction) on the Sept. 10 futures and options expiration. It means investors should watch for short-term volatility to increase.
◇ Third-quarter KOSPI 200 dividend estimate alone reaches 22 trillion won
In the September stock derivatives expiration, the expected third-quarter dividends of KOSPI 200 corporations have emerged as the key variable. Due to the regular and special dividends of Samsung Electronics(005930), the dividend estimate for KOSPI 200 corporations in the third quarter comes to 21 trillion–23 trillion won.
Jeon Gyun, an analyst at Samsung Securities, analyzed that "reflecting the surge in third-quarter dividends, the KOSPI 200 futures Sept.–Dec. spread is trading around fair value, and if it moves well outside the range, arbitrage opportunities could emerge."