• 유통과학연구
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• 제20권12호
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• pp.81-87
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• 2022

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk-tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

• 한국자동차공학회논문집
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• 제21권6호
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• pp.58-63
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• 2013

It is very difficult to evaluate the impact speed, who caused the accident and what the injury risk of the vehicle occupants was from the outcome of the accident. That's the main reason why there are so many insurance fraud related to vehicle accident. In this study, a vehicle crash accident suspected to an insurance fraud had been reconstructed to evaluate crash speed and the relationship between the crash accident and passenger injury risk. To do this, the scene was reconstructed based on accident investigation report and three vehicle crash tests were done at 27kph, 37kph and 70kph. The crash speed of 27kph and 37kph were chosen based on the damaged vehicle and 70kph was chosen based on the driver's statement. Based on the damage of vehicle and dummy injury measure, impact speed is estimated around 20 to 30kph and the dummy measures show that the passengers are not seems to be severely injured in this speed range.

• 산경연구논집
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• 제10권6호
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• pp.51-58
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• 2019

Purpose - Prior studies reported that the opacity of information caused stock price crash. If managers fail to disclose unfavorable information about the firm over a long period of time, the stock price is overvalued compared to its original value. If the accumulated information reaches a critical point and spreads quickly to the market, the stock price plunges. Information management by management's disclosure policy can cause information uncertainty, which will lead to a plunge in stock prices in the future. Thus, this study aims at examining the impact of disclosure quality on crash risk by focusing on the unfaithful disclosure firms. Research design, data, and methodology - This study covers firms listed on KOSPI and KOSDAQ from 2004 to 2013. Firms excluded from the sample are non-December firms, capital-eroding firms, and financial firms. The financial data used in the research was extracted from the KIS-Value and TS2000 database. Unfaithful disclosure firm designation data was collected from the Korea Exchange's electronic disclosure system (kind.krx.co.kr). Stock crash is measured as a dummy variable that equals one if a firm experiences at least one crash week over the fiscal year, and zero otherwise. Results - Empirical results as to the relation between unfaithful disclosure corporation designation and stock price crashes are as follows: There was a significant positive association between unfaithful disclosure corporation designation and stock price crash. This result supports the hypothesis that firms that have previously exhibited unfaithful disclosure behavior are more likely to suffer stock price plunges due to information asymmetry. Second, stock price crashes due to unfaithful disclosures are more likely to occur in Chaebol firms. Conclusions - While previous studies used estimates as a proxy for information opacity, this study used an objective measure such as unfaithful disclosure corporation designation. The designation by Korea Exchange is an objective evidence that the firm attempted to conceal and distort information in the previous year. The results of this study suggest that capital market investors need to investigate firms' disclosure behaviors.

• 디지털융복합연구
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• 제20권1호
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• pp.41-46
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• 2022

선진국의 자본시장과 비교해 중국 자본시장의 주요한 문제점으로 주가급락 사태를 꼽을 수 있다. 따라서 주가급락 위험을 줄일 수 있는 요인에 관한 연구는 상당히 중요한 의미가 있다. 본 연구는 최대주주의 보유주식 비율에 초점을 두고, 지분율이 증가함에 따라 기업의 경영자를 감독할 유인이 더 높아지는 지와 이를 통해 경영자의 기회주의적 행동이 감소 되는지 검토해보고자 한다. 이를 위해 2009년부터 2019년까지의 중국 상장기업 자료를 수집하고, 실증분석을 통해 최대주주 지분율과 상장기업의 주가급락 위험 간의 관계를 분석하였다. 연구결과에 따르면 국유기업의 최대주주 지분율이 높을수록 기업의 주가급락 위험이 유의하게 낮아진 것으로 나타났다. 이는 국유기업의 최대주주는 정부 기관으로서 경영자에 대한 정부의 감독이 비국유기업의 최대주주보다 더 엄격하기 때문으로 보인다. 본 연구는 최대주주의 지분율이 높을수록 경영자의 기회주의 행위가 감소하며, 기업과 주주 간의 정보비대칭이 완화될 수 있음을 시사한다.

• The Journal of Asian Finance, Economics and Business
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• 제8권8호
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• pp.103-115
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• 2021

This study investigates the relationship between family ownership and the stock price crash risk. It believes that this relationship would never be in direct connection. The authors design and then find that family ownership is predisposed, in the first place, to the related party transaction, then the related party transaction causes the future stock price crash. This study infers that employing the power of family ownership creates the Type I agency problem, although this is not relevant for the Type II problem. From the perspective of the hoarding theory, family ownerships produce opaque accounts by blurring financial information. The blurred information is probably hidden in the related party transactions. This study, therefore, splits these transactions into accounts receivable, other accounts receivable and other receivables. Finally, this research concludes that the family ownership affects related party transactions. These then are used as an instrument to influence the leaded related party transaction. The latest, leaded related party transactions influence the future stock price crash. This study infers that related party transactions are abusive practices, especially on the types of receivables. It implies corporate governance's revitalisation.

• 한국도로학회논문집
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• 제14권4호
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• pp.113-124
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• 2012

PURPOSES : In This study two different concrete barrier systems have been proposed to be established at the small vehicle driveway. One is for median barrier, and the other is for roadside barrier. METHODS : In order to determine the suitable shape of barrier, the impact parameters including vehicle weight, impact angle, impact velocity and impact level have been analyzed. The real crash test has been carried out with 0.9 ton and 2.5 ton vehicles, respectively by using the 2m segment type concrete barriers connected by steel plates that are totally 40m barrier systems. RESULTS : The numerical results obtained by LS/DYNA-3D software are compared with real crash tests from the viewpoints of vehicle stability, vehicle trajectory, occupant risk, etc. CONCLUSIONS : From the above results, the dynamic performance of proposed barrier systems satisfies the specification of Korean Code for roadside safety structures.

• Journal of East Asia Management
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• 제3권1호
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• pp.41-55
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• 2022

This study investigates whether foreign investors' behavior is involved in firm-specific investor sentiment. Because the mixed role of foreign investors on investor sentiment formation seems to exist in the Korean stock market, it needs to examine the moderate or incremental effect of foreign investors on the stock price crash risk which is due to investor sentiment. The analysis results using Korea Stock Exchanges - listed firms for the period of 2011-2019 show the increased future stock price crash risk which is attributable to high investor sentiment is mitigated for firms with the high foreign ownership, indicating the moderate effect. This study expands the literature on the foreign investors' behavior in the Korean stock market, by showing foreign investors are not involved in firm-specific investor sentiment, which improves market's efficiency in the Korean stock market. Also, the paper is valuable to the academic and practice field in that the findings shed light on the foreign investors' mitigating role in stock price crashes in the behavioral finance perspective.

• 한국전자거래학회지
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• 제22권2호
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• pp.153-168
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• 2017

최근 주식의 수익률과 거래량을 설명하는 요인 중 하나로 투자자들의 관심이나 주식관련 정보 전파의 효율성 등이 중요하게 인식되고 있다. 또한 기업관련 정보가 투자자들에게 투명하게 전파되지 않을 때 기업 주가의 급락(crash) 위험을 증가시킨다는 연구 결과들이 축적되고 있다. 본 연구에서는 네이버 트렌드를 이용하여 포털에서의 검색 강도가 증가하는 것이 주식 수익률의 급락에 어떤 영향을 미치는지를 분석하였다. 다양한 주가급락 위험의 측정변수와 검색 강도 측정치를 이용한 분석에서 포털 검색강도가 상대적으로 높은 기업-연도에서 주가 급락의 위험이 감소하는 것으로 관찰되었다. 이러한 결과는 기업 관련 정보 전파가 투자자들에게 효율적으로 이루어지지 않을 때 미래의 주가급락을 초래한다는 논의와 일치하는 결과이다. 또한 이러한 결과는 분석에 발생가능한 내생성을 통제한 후에도 유의하게 성립하는 것으로 관찰되었다.

• 한국도로학회논문집
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• 제15권1호
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• pp.65-73
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• 2013

PURPOSES: This paper presents the results of computer simulations of roadside safety barrier, called by safety roller guardrail, consisting of rotational roller, rotation control plate, post and subsidiary members. The rotation roller and rotation control plate are made by EVA(ethylene vinyl acetate), and PE(polyester), respectively. METHODS: The occupant risk analysis has been carried out under vehicle crash condition for high containment level of SB-4 for the purpose of local road. Simulations are performed with the finite element code LS/DYNA-3D. RESULTS: The numerical results obtained by LS/DYNA-3D software from the viewpoints of vehicle stability, vehicle trajectory, occupant risk, etc. CONCLUSIONS: It is noted that not only impact severity is drastically reduced but also vehicle trajectory is improved due to the characteristics of energy absorption and rotation pattern of EVA rollers connected by control plates.

• 대한교통학회지
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• 제29권1호
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• pp.103-111
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• 2011

유사한 특성을 갖는 지점 (또는 구간)들에서 연속되고 동일한 시간 간격 동안 관측된 패널 (panel) 교통사고 자료를 시간의 흐름에 따라 비교분석하여 분석지점의 기대교통사고건수를 추정하는 과정은 교통안전 개선사업의 효과 평가와 교통안전 개선사업 수행의 우선순위 결정과 같은 교통안전연구의 핵심이다. 패널 교통사고 자료를 이용한 기대교통사고건수 추정기법은 관측교통사고건수 기반 기법과 경험적 베이지안 기법으로 대별할 수 있으며, 본 연구에서는 시간의 흐름에 따른 기대교통사고건수의 변화 여부와 다양한 패널 교통사고 자료 구조에 따라 전술한 두 가지 기법의 추정오차를 모의실험을 통해 비교 분석하였다. 분석결과 시간의 흐름에 따른 기대교통사고건수의 변화 여부와 패널교통사고자료 구조의 특성과 관계없이 관측교통사고건수 기반 추정치인 평균 관측교통사고건수와 평행비교 추정치의 추정오차는 경험적 베이즈 추정치의 추정오차보다 항상 크게 나타나 향후 패널교통 사고자료를 이용한 교통안전 연구 수행 시 경험적 베이지안 추정기법의 적용이 필요하다고 판단된다. 한편 시간의 흐름에 따라 기대교통 사고건수가 변화하지 않을 경우 분석기간이 늘어날수록 두 가지 기법의 추정오차는 모두 현저하게 감소하는 것으로 분석되어, 현재 국내의 교통사고 잦은 곳 선정 연구에서 기준치로 사용되고 있는 분석기간인 "1년"을 연장하여 보다 효율적으로 시간 불변 기대교통사고건수를 추정할 필요가 있다고 판단된다.