• The Journal of Information Systems
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• v.29 no.1
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• pp.289-301
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• 2020

Purpose This study analyzes whether Internet search of cryptocurrency has a causal relationship to return and volatility of cryptocurrency. Design/methodology/approach Google Trend was used as a measure of the level of Internet search, and the parametric tests of Granger causality in the 1st moment and the 2nd moment were adopted as the analysis method. We used Bitcoin's dollar-based price, which is the No. 1 market value among cryptocurrency. Findings The results showed that the Internet search measured by Google Trends has a causal relationship to cryptocurrency in both average and volatility, while there is a difference in causality and its degree according to the search area and category that Google Trend user should set. Because the Granger causality is based on the improvement of prediction, the analysis results of this study indicate that Internet search can be used as a leading indicator in predicting return and volatility of cryptocurrency.

• Journal of the Korean Data and Information Science Society
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• v.28 no.1
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• pp.67-74
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• 2017

This paper analyzes the causal relationship from climate to international grain prices. Although climate is an important factor affecting the grain markets, it has been restrictively considered in previous studies analyzing the causal relationship of international grain prices. In this paper, monthly data from May 1987 to 2013 is used for the causal analysis in which the sea surface temperature (SST), a representative global climate variable, and the international prices of wheat, corn, and soybean, the world's three major crops, are considered. The test method is the parametric version of the nonparametric test for causality in high-order moments suggested by Nishiyama et al. (2011). The results show that the climate causes in the first moment the prices of all the three grains and causes in the second moment the prices of corn and soybean, but does not cause in the third moment any of the three grain prices.

• Management & Information Systems Review
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• v.39 no.2
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• pp.17-37
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• 2020

The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.

• Korea Trade Review
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• v.44 no.5
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• pp.143-159
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• 2019

This study explores the relationship between outward foreign direct investment (FDI) and innovation in 61 industries of Korea between 1999 and 2016. In order to mitigate the endogeneity problem due to potential reverse causality between FDI and innovation, we use the GMM (generalized method of moments). Our results are as follows. First, FDI has a positive effect on innovation. A possible explanation is that through FDI, multinational companies may assimilate host countries' technologies and knowledge by learning, and then recreating new technologies. Furthermore, this positive effect appears greater, as industrial competition becomes fiercer. This result provides empirical evidence that by recreating technology and knowledge learned through FDI with their own intangible assets, such as patents, they may gain a competitive edge over competitors. Second, this study confirms the greater positive effects of FDI in developed countries, as well as countries with higher technology levels. Finally, strategic asset seeking FDI has the greatest positive impact on innovation in Korean industries. In summary, our findings provide empirical evidence that Korean multinationals can learn technology and knowledge of host countries through FDI to secure a competitive edge in the Korean market.

• THE INTERNATIONAL COMMERCE & LAW REVIEW
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• v.61
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• pp.165-190
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• 2014

The purpose of this study is to measure the trade insurance's macroeconomic effects by analyzing the causality between major economic variables(GDP per capita, market interest rate, inflation, unemployment rate, exchange rate) and trade insurance variable. I conducted empirical analyses using First-difference GMM(Generalized Method of Moments), System GMM and Panel-VAR Model, with panel data from 11 countries(Korea, United States, Japan, BRICs, Indonesia, Singapore, Hong Kong, Vietnam) between 1992 and 2011. There are several important findings. Above all, Trade insurance is positively and significantly related to GDP. This results show that trade insurance serves to increase economic growth. In other words, trade insurance leads to economic growth by helping increase GDP per capita. Especially, trade insurance negatively related to unemployment rate, it is for sure that trade insurance contribute to decrease unemployment rate. And trade insurance helps control of inflation. It is also confirmed that trade insurance contributes to price stability, which in turn serves to stabilize the overall economy. And this research finds as uncertainty in the market increases, seen it as increase of exchange rate, increasing trade insurance supply is stabilize the exchange rate.