• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.163-199
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• 2007

This paper studies the stock market in which there are two types of investor, institutional and individual, whose information gathering and processing abilities are different. The institutional investor manages large funds and has powerful information sources. Whereas, the individual investor trades with a small amount of money and an information disadvantage. The model assumes that the institutional investor is more experienced and able to acquire relevant information earlier than the individual investor. On these assumptions, this paper shows a price continuation in the short run and a price reversal in the long run. The price continuation, or momentum, in the short run can be explained as follows. The early-informed institutional investor trades a stock, and as a result the stock price changes. Then the late-informed individual investor trades the same stock, and the stock price continues to move in the same direction in the short run. The reason for the price reversal in the long run is that since the individual investor has inferior information on the fundamental value of the stock, he tends to overreact to new information. So the stock price changes over its fundamental value initially and then regresses toward its fundamental value. In sum, both the price continuation and the price reversal are caused by the overreaction of the individual investor. The essay illustrates how these phenomena are stronger in the case where the proportion of the individual investor is higher. It also shows how the stock price goes up when the institutional investor buys a stock, while it goes down when the individual investor buys one.

• Korea Trade Review
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• v.43 no.2
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• pp.69-86
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• 2018

The paper studies the degree of international price dispersion for 300 individual goods and services between cities of three country groups over 1999 and 2013, focusing on the role of oil prices in generating deviations from the law of one price. We find that while oil prices did not contribute to the trend in cross-country price dispersion, it does account for within-country price dispersion. Once the oil price effect is subtracted out, the remaining price dispersion between U.S. cities no longer exhibits a noticeable upward trend. If oil prices increase transportation costs, they should increase the deviations from the law of one price, raising price dispersion. Our findings indicate that this effect is more pronounced within a country, while factors such as elasticity of substitution and other trade barriers are likely to matter more in price dispersion across borders. We view our results as complementary to those that emphasize the role of time-varying factors in accounting for price dispersion.

• Environmental and Resource Economics Review
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• v.22 no.2
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• pp.251-279
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• 2013

Prices of oil products such as gasoline and diesel are deregulated since 1997 while electricity price is still controlled by government. This difference may explain recent discrepancy in the patterns of demand for oil products and electricity - constant increase in electricity consumption and stagnant demand for oil. To verify it empirically, we estimate price and income (production) elasticity of demand across time by using a rolling regression with 10 year-window based on monthly data for 1981-2011. Estimation results show that the sensitivity to price in demand for gasoline and diesel has increased since mid-90s while the elasticity of demand for electricity has become smaller. Second, income (production) elasticities of demand have shown no significant changes for both oil products and electricity. Third, cross-price elasticity was found meaningful only for gasoline before mid 1990s and for diesel after then.

• Journal of Digital Convergence
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• v.11 no.2
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• pp.175-182
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• 2013

In this paper, the simulation model of house price is presented on the basis of pricing mechanism between the demand and the supply of apartments in seoul. The algorithm of house price simulation model for calculating the rate of price over time includes feedback control theory. The feedback control theory consists of stock variable, flow variable, auxiliary variable and constant variable. We suggest that the future price of apartment is simulated using mutual interaction variables which are demand, supply, price and parameters among them. In this paper we considers three items which include the behavior of apartment price index, the size of demand and supply, and the forecasting of the apartment price in the future economic scenarios. The proposed price simulation model could be used in public needs for developing a house price regulation policy using financial and non-financial aids. And the quantitative simulation model is to be applied in practice with more specific real data and Powersim Software modeling tool.

• Environmental and Resource Economics Review
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• v.24 no.4
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• pp.709-725
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• 2015

This study is to analyse the relationship between the price and the supply in the farming Olive Flounder's production area market. The data used in this study correspond to daily price and supply quantity covering time period from January 1, 2007 to June 30. 2013. The analysis methods of cointegration and vector error correction model are employed. The empirical results of this study are summarized as follows: First, the price and the supply follow random walks and they are integrated of order 1. Second, the price and the supply are cointegrated. Third, vector error correction model suggests that the relationship between the price change ration and the supply quantity change ratio has negative and feedback effect exists in the long-run, but the disequilibrium between the price and the supply is corrected by the supply quantity. Finally, vector error correction model suggests that the supply quantity leads the price in the short-run. This indicates that the decrease(increase) of the supply quantity results in the increase(decrease) of the price.

• Environmental and Resource Economics Review
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• v.4 no.2
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• pp.383-393
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• 1995

석유개발사업은 고도의 위험성, 투자자금의 장기회임성, 그리고 대규모 투자자금의 필요성등의 특성을 가지고 있다. 따라서 개발사업에 참여하기에 앞서 개발비용과 향후 유가추이를 면밀히 검토하여야 한다. 국제원유시장은 기본적으로 공급초과 상태에 있으며 앞으로 상당기간동안 가격은 안정추세를 나타낼 것이다. 단기적 등락에도 불구하고 원유가격은 장기적으로 상승할 것이라는 당대의 견해는 이른바 유한고갈성자원의 희소렌트가 이자율과 같은 속도로 상승한다는 '호텔링의 모형'에 이론적 기초를 두고 있다. 그러나 국제원유시장에서의 원유가격은 경쟁가격이 아니라 OPEC카르텔에 의한 담합가격으로 실제적 시장상황에 비해 인위적으로 높게 유지되어 왔다. '카오스 이론'에 따르면 석유시장은 동태적으로 구조변화를 반복하기 때문에 사전적으로 석유가격을 예측한다는 것은 애당초 불가능하다. 따라서 불규칙적으로 변화하는 석유가격을 예측하려고 노력하기보다는 석유시장의 불확실성을 인정하고 선물시장의 활용을 통해 석유개발과 관련된 위험을 줄여나가야 할 것이다.

• The Korean Journal of Financial Management
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• v.11 no.2
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• pp.161-173
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• 1994

유상증자의 주가하락에 대하여 유상증자 공시일전 내부자순매수를 종속변수로 설정하여 선형회귀분석한 결과, 이전의 논문결과와는 달리 유상증자규모효와 자본구조변화효과는 보이지 않았으며, 반면에 유상증자의 주가하락이 내부자순매수와 통계적 유의성이 높은 비례관계가 있음을 밝혀 내었다. 이 결과는 유상증자규모효과로 인한 가격 압박가설과 자본구조변화효과로 인한 부의 이전가설을 기각시키고 정보전달가설이 유상증자의 주식 가격 하락현상을 설명하는 설득력 있는 가설임을 시사하고 있다.

• KDI Journal of Economic Policy
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• v.9 no.1
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• pp.3-26
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• 1987

본연구(本硏究)의 목적(目的)은 과거 2년간 삼저현상(三低現象)이 실질국민총생산(實質國民總生産), 수출(輸出), 수입(輸入)(유류도입액(油類導入額) 제외) 및 도매물가지수(都賣物價指數)에 미친 영향을 분석(分析)하는 데 있다. 분석(分析)에 있어서는 'Lucas의 비평(批評)'에 위배되지 않도록 하기 위하여 모형(模型)의 계수(係數)가 시간이 흐름에 따라 변화(變化)할 수 있도록 허용한 BVAR모형(模型)을 작성(作成)하여 사용하였다. 이에 따라 삼저효과(三低效果)를 국제금리(國際金利), 원유가격(原油價格), 달러화가치(貨價値) 등의 변동(變動)으로서의 순수한 가격효과(價格效果)와 이들 가격변동(價格變動)으로 야기(惹起)된 경제행위주체(經濟行爲主體)의 행동변화(行動變化)를 반영(反映)하는 경제구조변화효과(經濟構造變化效果)로 양분(兩分)하여 계산하였다. 분석결과(分析結果)에 의하면 구조변화효과(構造變化效果)가 가격효과(價格效果)에 못지않게 상당히 큰 것으로 계산되어, 대외여건(對外與件)의 급변(急變)에 대한 경제행위주체(經濟行爲主體)의 대응노력(對應努力)이 매우 중요했던 것으로 나타났다. 이는 어떠한 축약형모형(縮約型模型)을 사용하여 정책(政策)의 급선회(急旋回) 혹은 대외여건(對外與件)의 급변(急變)과 같은 시뮬레이션을 할 때에는 그 결과(結果)가 매우 부정확할 수도 있다는 것을 의미(意味)한다.

• KOREAN POULTRY JOURNAL
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• v.13 no.2 s.136
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• pp.123-127
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• 1981

• The tire
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• s.96
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• pp.21-29
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• 1981

현재 미국에서는 카본블랙 시장에 영향을 주는 많은 변화가 일어나고 있다. 즉, 카본블랙의 원료유 가격인상, 종류별 사용량의 변화, 가격인상 압력 등, 이 모든 요인들이 앞으로의 카본블랙 공업의 방향을 결정하게 될 것이다.