• The Korean Journal of Applied Statistics
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• v.25 no.6
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• pp.897-915
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• 2012

This paper examines the relationship between the stock and futures markets in terms of lead-lag relationship, correlation and the hedge ratio using wavelet analysis. The basic finding is that the relationship between the two markets significantly depends on the time-scale. First, there is a feedback relationship between the stock and futures markets in the long-run scale; however, weaker evidence is observed in shorter-run scales. Second, wavelet correlation between the two markets increases for a longer time scale. Third, the hedge ratio and the effectiveness of hedging strategies increase as the investment horizon gets longer. The results in this paper indicate that the stock and futures series are perfectly correlated in the long run and are tied together over long horizons.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2008.10a
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• pp.76-94
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• 2008

This paper investigates performance of the Markowitz's portfolio selection model with applications to Korean stock market. We choose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remains the same with only 0.1% change, Samsung-Group-Funds shows 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, reaches 52% return. We perform sensitivity analysis on the duration of financial data and the period of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperforms investment by the fund manager who possesses rich experiences on stock trading and actively changes portfolio based on minute-by-minute market news and business information.

• Journal of Distribution Science
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• v.21 no.5
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• pp.11-18
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• 2023

Purpose: The purpose of this article is to determine whether there are differences in the level of return and risk of the conventional and Islamic capital markets. Research design, data and methodology: This study takes data on the Jakarta Islamic Index (JII) and the Liquid-45 (LQ45) stock groups in the 2017 to 2020 period. The research approach used is quantitative research with a type of comparison. The data used secondary data sourced from the closing price of shares on the Indonesia Stock Exchange. The statistical method used to test the hypothesis is a different test or independent sample t-test. Results: There is a significant difference between the rate of return and investment risk in JII and LQ-45. The rate of return and risk of investing in LQ-45 is higher than that of JII. Conclusions: There is a significant difference in the rate of return on investment in Jakarta Islamic Index (JII) and LQ-45, including conventional stock Liquid-45 (LQ-45) is higher than the rate of return on shares of JII shares. There is a significant difference in the level of investment risk in the Jakarta Islamic Index (JII) and the Liquid-45 (LQ-45), where the risk level for the LQ-45 is higher than that of the JII shares.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2000.10a
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• pp.77-80
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• 2000

Feedback herding strategy in stock market means considering other investor's strategy as a basis of market forecasting of next term. Generally, individual investors use that strategy which mimics the strategy of institutional investors. When it is used in stock market, both kind of investors, preceders and followers, can take the higher average of rate of return to normal market in which no feedback herding strategy is not use, the more investors take part in. And variance of return, the risk of investment, are same to both group.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2000.10a
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• pp.29-32
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• 2000

We proposed a neural network based “left shoulder”detector. The auto-associative neural network was trained with the “left shoulder”patterns obtained from the Korea Composite Stock Price Index, and then tested out-of-sample with a reasonably good result. A hypothetical investment strategy based on the detector achieved a return of 132% in comparison with 39% return from a buy and hold strategy

• The Journal of the Korea Contents Association
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• v.13 no.11
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• pp.48-58
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• 2013

The stock market is constantly changing and sometimes a slump or a sudden rising in stocks happens without any special reason. So the stock market is recognized as a complex system and it is hard to predict the change on stock prices. In this paper we consider the stock market to a network consisting of stocks. We analyzed the dynamics of the Korean stock market network and evaluated the changing of the correlation between shares consisting of the time series data of 137 companies belong to KOSPI200. Our analysis shows that the stock prices tend to plummet when the correlation between stocks is very high. We propose a method for recommending the stock portfolio based on the analysis of the stock market network. To show the effectiveness of the recommended portfolio, we conducted the simulated stock investment and compared the recommended portfolio with the efficient portfolio proposed Markowitz. According to the experiment results, the rate of return of the portfolio is about 10.6% which is about 3.7% and 5.6% higher than the average rate of return of the efficient portfolio and KOSPI200 respectively.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.10
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• pp.361-371
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• 2021

This research aims to analyze the effects of managerial overconfidence and corporate governance on investment decisions. Besides, it also tries to discover the effect of internal financing mediation between managerial overconfidence and corporate governance on investment decisions. This study employed panel data from 44 manufacturing companies from 2014 to 2019, out of a total of 117, thus the total observations are 264. The hypothesis was verified through structural equation modeling (Smart PLS 2). The study revealed as follows: 1) Managerial overconfidence has a positive and significant effect on internal financing, while corporate governance has a negative and significant effect on internal financing, 2) managerial overconfidence, internal financing, and corporate governance have a positive and significant effect on investment decisions, 3) internal financing partially mediated the effect of managerial overconfidence on investment decisions, However, internal financing does not mediate the effect of corporate governance on investment decisions. The findings in this study will help company managers implement good corporate governance to improve investment efficiency. In addition, managers can reduce the proportion of retained earnings and increase the proportion of dividend payout ratios, and increase the use of external sources of funds in making investments to minimize agency costs and manager's opportunistic behavior.

• Journal of Korea Society of Digital Industry and Information Management
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• v.20 no.2
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• pp.141-157
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• 2024

This study examines the impact of cryptocurrency value characteristics on cryptocurrency investment intention. Stock craze and information provided through various media, including YouTube, play an essential role in helping investors recognize the value of cryptocurrency and develop positive investment intentions. In this study, we applied the Value-Based Adoption Model (VAM) to verify the relationship between cryptocurrency value characteristics and investment intention. We surveyed 500 cryptocurrency investors to assess network externalities, awareness, compatibility, cost benefits (fees), technicality, security, perceived value, and investment intentions. SEM (Structural Equation Modeling) using AMOS 26.0 was used for data analysis. Results show that network externalities, awareness, compatibility, cost benefits (fees), security, and perceived value significantly impact investment intention. This study provides insights that help investors accurately perceive cryptocurrencies and develop strategies to increase investment intentions. It also contributes to improving investors' decision-making ability. This comprehensive approach will foster the growth of the cryptocurrency market and strengthen investor confidence.

• Journal of Korea Port Economic Association
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• v.39 no.1
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• pp.115-129
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• 2023

This study analyzed the risk spillover of BDI on shipping company stock prices through the Copula-CoVaR method based on daily data from January 4, 2010, to October 31, 2022. The main empirical analysis results and policy implications are as follows. First, copula results showed that there was a weak dependence between BDI and shipping company stock prices, and PAN, KOR, and YEN were selected as the most fitting model for dynamic Student-t copula, HMM was selected as the rotated Gumbel copula, and KSS was selected as the best model. Second, in the results of CoVaR, it was confirmed that the upside (downside) CoVaR was significantly different from the upside (downside) VaR in all shipping companies. This means that BDI has a significant risk spillover on shipping companies. In addition, as for the risk spillover, the downside risk is generally lower than the upside risk, so the downside and upside risk spillover were found to be asymmetrical. Therefore, policymakers should strengthen external risk supervision and establish differentiated policies suitable for domestic conditions to prevent systematic risks from BDI shocks. And investors should reflect external risks from BDI fluctuations in their investment decisions and construct optimal investment portfolios to avoid risks. On the other hand, investors propose that the investment portfolio should be adjusted in consideration of the asymmetric characteristics of up and down risks when making investment decisions.

• The Korean Journal of Financial Management
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• v.2 no.1
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• pp.55-75
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• 1986

This article is to analyse the economic efficiency of capital market, which plays a role of resource allocation in terms of financial claims such as stock and bond. It provides various contributions to the welfare theoretical aspects of modern capital market theory. The key feature that distinguishes the theory described here from traditional welfare theory is the presence of uncertainty. Securities has time dimensions and the state and outcome of the future are really uncertain. This problem resulting from this uncertainty can be solved by complete market, but it has a weak power to explain real stock market. Capital Market is faced with the uncertainity because it is a kind of incomplete market. Individuals and firms in capital market made their consumption-investment decision by their own criteria, i. e. the maximization of expected utility form intertemporal consumption and the maximization of the market value of firm. We noted that allocative decisions that had to be made in the economy could be naturally subdivided into two groups. One set of decisions concerned the allocation of first-period resources among consumption $C_i$, investment in risky firms $I_j$, and riskless investment M. The other decisions concern the distribution among individuals of income available in the second period $Y_i(\theta)$. Corresponing to this grouping, the theoretical analysis of efficiency has also been dichotomized. The optimality of the distribution of output in the second period is distributive efficiency" and the optimality of the allocation of first-period resources is 'the efficiency of investment'. We have found in the distributive efficiency that the conditions for attainability is the same as the conditions for market optimality. The necessary and sufficient conditions for attainability or market optimality is that (1) all utility functions are such that -$\frac{{U_i}^'(Y_i)}{{U_i}^"(Y_i)}={\mu}_i+{\lambda}Y_i$-linear risk tolerance function where the coefficients ${\mu}_i$ and $\lambda$ are independent of $Y_i$, and (2) there are homogeneous expectations, i. e. ${\Large f}_i(\theta)={\Large f}(\theta)$ for every i. On the other hand, the efficiency of investment has disagreement about optimal investment level. The investment level for market rule will not generally lead to Pareto-optimal allocation of investment. This suboptimality is caused by (1)the difference of Diamond's decomposable production function and mean-variance valuation model and (2) the selection of exelusive investment or competitive investment. In conclusion, this article has made an analysis of conditions and processes of Pareto-optimal allocation of resources in capital marker and tried to connect with significant issues in modern finance.