• The Journal of the Korea Contents Association
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• v.16 no.8
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• pp.387-394
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• 2016

The volatility in the stock market responds differently to information types. That is, the asymmetric volatility exists in the stock market which responds more to unexpected negative returns due to bad news than unexpected positive returns due to good news. This paper examines the asymmetric response of the volatility of KOSPI, large-cap, middle-cap, and small-cap indices returns which is announced in Korea exchange (KRX) by using the MA-GJR model and the MA-EGARCH model. According to empirical analyses, it shows that the asymmetric response of volatility exists in all indices regardless of volatility estimation models and the degree of the asymmetric volatility response of the small-cap index returns is greater than that of the large-cap index returns. Moreover, this results also observed robustly during the period of both before and after the global financial crisis.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.4
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2015.05a
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• pp.227-230
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• 2015

For analyzing and prediction of economic trends, it is necessary to collect particular economic news and stock data. Typical Web crawler to analyze the page content, collects document and extracts URL automatically. On the other hand there are forms of crawler that can collect only document of a particular topic. In order to collect economic news on a particular Web site, we need to design a crawler which could directly analyze its structure and gather data from it. The wrapper-based web crawler design is required. In this paper, we design a crawler wrapper for Economic news analysis system based on big data and implemented to collect data. we collect the data which stock data, sales data from USA auto market since 2000 with wrapper-based crawler. USA and South Korea's economic news data are also collected by wrapper-based crawler. To determining the data update frequency on the site. And periodically updated. We remove duplicate data and build a structured data set for next analysis. Primary to remove the noise data, such as advertising and public relations, etc.

• Journal of the Korean Society of Food Culture
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• v.4 no.3
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• pp.293-300
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• 1989

오늘날의 청주(淸酒)는 SAKE라는 이름으로 일본(日本)을 대표(代表)하는 술로 여겨지고 있으나 사실 일본식(日本式) 청주(淸酒)의 제법(製法)도 결국(結局)은 우리나라에 그 근원을 두고 있다. 오늘날의 청주(淸酒)는 우리의 술 빚는 법이 일본(日本)으로 전래된 후, 일본(日本)에서 잘 다듬어져 다시 우리나라에 상륙(上陸)한 것으로 現在의 청주(淸酒)의 근본도 그 뿌리는 백제를 비롯한 우리나라에 있음은 주지할 만한 사실이다. 그러나 우리 고유의 술빚는 법이 체계적으로 정리되지 못하고 사라져 버린데에는 우리의 전통사상의 일부인 과학, 기술 노동을 천시하는 풍조와 술빚는 일을 특히 여성의 전유물로 여겨 양조법의 정립이 이루어지지 못한 것도 큰 이유라 하겠다. 자가용(自家用)으로만 사용되던 주조(酒造)에서 탈피하여 공업적(工業的)인 규모의 청주생산은 1883년 1월 후꾸다라는 일본인이 부산에 세운 공장을 시초로, 1917년 현 백화양조의 전신이라 할 수 있는 조선주조주식회사 설립으로 본격화되었다. 우리의 전통청주(약주)는 곡류와 누룩을 이용하여 빚는데, 누룩은 밀기울을 잘 다져서 장기간에 걸쳐 제조하며, 누룩에는 당화효소를 분비하는 곰팡이류와 알콜발효를 할 수 있는 효모류가 함께 부착되어 있다. 따라서 호화시킨 곡류와 누룩을 함께 넣어서 술을 빚게되면 당화와 발효가 동시에 일어나게 된다. 일본식 청주도 Koji라 불리는 국(麴)을 제조하는 것을 달리할 뿐 우리 전통청주와 제법의 맥락은 같다. Koji는 찐쌀에 곰팡이류를 인위적으로 접종하여 배양한 것으로, 결국 당과용 효소를 얻는다는 것은 누룩과 같은 원리이나 곰팡이균을 분리하여 접종하는 것이 다르다. 한국의 청주판매 현황을 보면 80년대 초반 급격한 감소추세를 보였으나, 업계가 적극적인 판촉활동을 벌임과 동시에 새로운 TYPE의 냉청주(冷淸酒)를 개발하여 여름철이 비수기였던 시장 상황을 완전히 깨뜨려 사계절의 주류로 만드므로서 뚜렷한 회복, 증가추세로 바꾸었다. 앞으로 좀더 잘 다듬어지고 현대 이미지에 맞는 청주가 지속적으로 등장하여야 하며, 결국 이러한 민족고유의 맛이 가미된 청주 TYPE의 주류가 우리나라를 대표하는 국주로까지 발전할 수 있으리라 확신한다.

• Journal of the Korean Institute of Intelligent Systems
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• v.22 no.3
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• pp.386-393
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• 2012

Portfolio selection methods based on stochastic receding horizon approach, which were recently reported in the field of financial engineering, can explicitly consider the dynamic characteristics of wealth evolution and various constraints in the process of performing optimal portfolio selection. In view of the theoretical value, versatility, and effectiveness that receding horizon approach has achieved in many engineering problems, dynamic portfolio selection methods based on stochastic receding horizon optimization technique have the possibility of becoming an important breakthrough. This paper observes through theoretical investigations that the SDP(semi-definite program)-based portfolio selection procedure can be simplified, and has obtained meaningful performance on returns from simulation studies applying the simplified version to Korean financial markets.

• The Journal of the Korea Contents Association
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• v.21 no.6
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• pp.552-560
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• 2021

With the recent development of the art distribution system, interest in art investment is increasing rather than seeing art as an object of aesthetic utility. Unlike stocks and bonds, the price of artworks has a heterogeneous characteristic that is determined by reflecting both objective and subjective factors, so the uncertainty in price prediction is high. In this study, we used LSTM Recurrent Neural Network deep learning model to predict the auction winning price by inputting the artist, physical and sales charateristics of the Korean artist. According to the result, the RMSE value, which explains the difference between the predicted and actual price by model, was 0.064. Painter Lee Dae Won had the highest predictive power, and Lee Joong Seop had the lowest. The results suggest the art market becomes more active as investment goods and demand for auction winning price increases.

• Korea Trade Review
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• v.41 no.1
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• pp.67-90
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• 2016

This study examines whether there is any significant relation between executive compensation and future firm performance for the Korean export manufacturing small and medium-sized firms. We sorted the whole sample firms into the sub-groups of 10 deciles by firm size and the KSIC standard. We found the following empirical results. First, Korean export manufacturing small and medium-sized firms typically showed lower or even negative profitability in terms of return on equity and operating profit ratio to sales. Foreign equity ownership is very low with an average of 3.77%. Second, for the firms with higher ratio of excess executive compensation to asset had lower future firm performance. It implies that the typical owner-manager in Korean export manufacturing SMEs earns excess pay, but do not contribute much to firm performance. Third, as for future cumulative abnormal returns for future one- and three-year periods, firms with higher owner-executive pay had lower returns compared with firms with lower pay. So the stock market investors set a lower value on them. Fourth, there is a positive relation between excess executive pay and executive overconfidence, and it implies that owner-CEOs with higher pay may become overconfident, thereby lowering future firm performance somehow.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.13 no.1
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• pp.101-107
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• 2013

Is generated in real time in the real world, a large amount of time series data from a wide range of business areas. But it is not easy to determine the optimal model for the description and understanding of the time series data is represented as a dynamic feature. In this study, through the HMM suitable for estimating the short and long-term forecasting model of time-series data to estimate a model that can explain the characteristics of these time series data, it was estimated to predict future patterns of movement. The actual stock market through various materials, information criterion and optimal model estimation for the length of the most efficient data was found to accurately estimate the state of the model. Similar movement patterns predictive than the long-term prediction is more similar to the short-term prediction of the experimental result were found to be.

• The Journal of the Korea Contents Association
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• v.18 no.10
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• pp.490-497
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• 2018

In this study, we examined whether common idiosyncratic volatility(CIV), a risk factor for idiosyncratic volatility, can be evaluated as a pricing factor. The sample is listed on the Korea Exchange. The analysis period is 288 months from July 1992 to June 2016. The main results of this study are as follows. First, in the empirical verification of the market excess returns of the testing portfolios, the difference in the return on the CIV factor sensitivity difference was statistically significant. In other words, we confirmed that there is a risk premium for CIV factors. Second, CAPM, FF3 factor model, and FF5 factor model do not explain the risk premium for CIV factors, whereas factor models that add CIV factors explain the risk premium for CIV factors. In other words, the CIV factor can be evaluated in terms of pricing factors.

• The Journal of Society for e-Business Studies
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• v.24 no.4
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• pp.109-118
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• 2019

As a result of the United States (U.S) -China trade conflict, the recent instability of the stock market has led many people to invest in Bitcoin, a commodity that many previous studies have interpreted as a safe asset. However, recent Bitcoin market price fluctuations suggest that the asset's stability stems from speculative purchasing trends. Therefore, classifying the characteristics of Bitcoin assets can be an important reference point in analyzing relevant accounting information. To determine whether Bitcoin is a safe asset, this study analyzed the correlation between Bitcoin and economic indicators to verify whether gold and Bitcoin responded similarly in time series analyses. These show that the regression explanatory power between the price of gold and bitcoin is low, thus no relation between the two assets could be drawn. Additionally, the Granger causality analyses of six individual economic variables and Bitcoin did not establish any notable causality. This can be interpreted that short-term price fluctuations have a significant impact on the nature of Bitcoin as an asset.