• Journal of Digital Convergence
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• v.13 no.11
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• pp.45-55
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• 2015

This study used for KOSPI, KOSDAQ, entertainment culture and digital contents index that is related to cultural contents industry. There was investigated the each stock price index and return trends for a total 597 weeks to July 2015 from March 2004. They looked the content-related stocks about investment worth to comparative analysis the return, volatility, correlation, synchronization phenomena etc. of each stock index. When we saw the growth potential of the cultural contents industry forward, looked forward to the investment possibility of related stocks. Analysis Result cultural content related stocks showed a higher rate after the last 2008 global financial crisis. Recent as high interest in the cultural contents industry, we could see that the investment merit increases slowly. In the future, the cultural content industry is expected to continue to evolve. The increase of investments value in the cultural content related businesses is much expectation.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.423-436
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• 2011

Many of the theoretical studies have considered herd behavior as a source of the volatility in financial markets, but there have been few empirical studies on the dynamic herding due to the technical difficulty of detecting herd behavior with time-series data. In this context, this paper proposes a new method for measuring time-varying herd behavior based on QR-GARCH model. Using daily data of KOSPI stocks, this paper provides some empirical evidence for strong and volatile herding among traders of stocks of medium firms, and shows that time-varying herd behavior in traders of some stocks has persistent autocorrelation.

• Management & Information Systems Review
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• v.29 no.2
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• pp.97-118
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• 2010

This paper explores the mean and volatility spillover effects among Chinese, Korean, and the U.S. stock markets during the Asian and global financial crises. We found that, during the Asian Financial crisis, there was no mean spillover effect to the Chinese stock markets. However, there were reciprocal mean spillover effects between the U.S. and the Korean market. This implies that Korean market was open, while Chinese market was secluded from the international financial market at that time. The negative volatility spillover effect between the U.S. and China reinforces this finding. During the global financial crisis, there was reciprocal mean spillover effect between the U.S. and China, and between the U.S. and Korea. This may reflect the fact that Chinese market has opened to the international financial market. However, the volatility spillover effect does not exist between China and the U.S., while the U.S. and Korea has reciprocal volatility spillover effect to each other. These findings may imply that China is still in the process of opening her stock market to international investors.