• Journal of the Korea Safety Management & Science
• /
• v.13 no.2
• /
• pp.251-258
• /
• 2011

The existing evaluation systems based on financial performance summarize the information about past results and focus on short-term performance, and so they have the limits to explain the future value of firms and to make a long-term strategic performance. By this reason, as a way to increase the future value, the development of the integrated performance evaluation system with which we may manages financial performance and knowledge assets together has been required recently. This study puts together various researches for the evaluation of knowledge assets, and analyzes the existing studies for the domestic medical devices industry and the tendency of introduction for business practice. Under this analysis, this study develops the knowledge asset evaluation indexes for medical devices industry by using the Balanced Score Card (BSC) of Kaplan & Norton(1992), and then presents the evaluation model by applying the Analytic Hierarchy Process (AHP) of Saaty(1980) to get the weight for each index. With the final evaluation model, we can calculate the evaluation score combined with both the quantitative indexes and the qualitative indexes at once.

• The Korean Journal of Financial Management
• /
• v.16 no.1
• /
• pp.193-222
• /
• 1999

본 연구는 한국주가지수선물시장에 있어서 1996년 5월부터 1998년 6월까지의 기간동안에 상장되어 실질적으로 거래된 각 주가지수선물 종목별 가격 및 거래량자료를 이용하여 만기까지의 기간, 거래량 그리고 가격변동성간의 체계적인 관계를 검증하였다. 즉, 주가지수선물의 종목들이 만기일에 접근함에 따라 거래량은 어떻게 변동하는가, 그리고 변동성은 어떻게 변동하는가를 실증적으로 검증한 것이다. 검증된 실증결과를 요약하면 다음과 같다. 첫째, 주가지수선물시장에 있어서 거래되는 종목들은 만기까지의 기간과 거래량간에 유의적인 음(-)의 관계가 확인되었고, 이는 만기일에 정근함에 따라 거래량은 증가하는 행태를 갖는다는 것이 일반적인 현상임을 알 수 있었다. 둘째, 주가지수선물시장에서 거래된 종목들에 있어서 동시적 거래량과 변동성간에는 유의적인 양(+)의 관계가 성립함에 따라 혼합분포가설을 주장한 Clark(1973)의 연구결과를 어느 정도 지지하는 증거를 발견하였다. 셋째, 주가지수선물시장에 있어서 만기까지의 기간과 변동성간에는 유의적인 음(-)의 관계가 존재한다는 것을 확인할 수 없었다 즉, 만기일에 접근함에 따라 가격변동성이 증가한다는 만기 효과가설을 지지하는 증거를 한국주가지수선물시장에서는 발견할 수 없었다.

• The Korean Journal of Financial Management
• /
• v.16 no.2
• /
• pp.337-364
• /
• 1999

본 연구에서는 국내 주가지수선물시장과 현물시상간의 일중 가격 및 가격변동성의 선-후행관계를 실증적으로 분석함으로써 양 시장간의 동적관련성을 살펴보고자 하였다. 먼저, 상관관계분석의 결과는 KOSPI 200 주가지수선물수익률과 현물수익률, 그리고 주가지수선물수익률자승과 현물수익률 자승간에 유의한 교차상관관계가 존재하는 것으로 나타났다. 수익률의 선-후행관계를 살펴보기 위한 주가지수선물수익률의 시차변수들과 현물수익률간의 다중회귀분석의 결과는 주가지수선물수익률이 현물수익률을 약 15분 정도 선행하는 것으로 나타났으며, 이러한 현상은 현물수익률에 존재할 수 있는 비동시적 거래의 영향을 통제한 경우에도 비록 그 강도가 약하기는 하지만 여전하였다. 다음으로, 수익률 변동성의 선-후행관계를 살펴보기 위해 Grammatikos-Saunders (1986)가 제시한 무조건부 변동성의 추정치인 로그수익률자승을 사용하여 분석한 결과 주가지수선물수익률의 변동성이 현물수익률의 변동성을 약 10분 정도 선행하는 것으로 나타났으며, 이러한 결과는 비동시적 거래의 영향을 통제한 경우에도 동일하였다. 또한, Nelson(1991)의 EGARCH모형을 사용하여 수익률의 변동성을 추정한 후 이를 갖고 분석한 결과, 특히 비동시적 거래의 영향을 통제한 경우에는 주가지수선물시장과 현물시장의 수익률 변동성간에 선-후행관계가 존재한다는 것을 부정할 수 없었다.

• The Korean Journal of Financial Management
• /
• v.21 no.2
• /
• pp.211-233
• /
• 2004

This purpose of paper is to propose a European option pricing formula when the rate of return follows the leptokurtic distribution instead of normal. This distribution explains well the volatility smile and furthermore the option prices calculated under the leptokurtic distribution are shown to be closer to the market prices than those of Black-Scholes model. We make an estimation of the implied volatility and kurtosis to verify the fitness of the pricing formula that we propose here.

• The Korean Journal of Applied Statistics
• /
• v.28 no.2
• /
• pp.189-200
• /
• 2015

Stationary bootstrapping is applied to a Lagrangian multiplier (LM) test to test market microstructure noise (MMN) in financial asset prices. A Monte-Carlo experiment shows that the bootstrapping method improves the size of the original LM test which has some size distortion for conditional heteroscedastic models. The proposed test is illustrated for real data sets like KOSPI index and Won-Dollar exchange rate.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.2
• /
• pp.201-211
• /
• 2021

This study aims to analyze the determinants of macroeconomic and institutional stability on the development of the global sukuk market by controlling the effects of population. This study uses panel data namely GDP per-capita, exchange rate, and inflation as the proxies for macroeconomic stability sourced from the World Development Index, and six dimensions of Worldwide Governance Indicators (WGI) as institutional proxies sourced from WGI-World Bank. To make robust the relationship between macroeconomics and institutional on the global sukuk market, the population (POP) variable was included as a control variable. The development of sukuk uses a proxy for sukuk issuance in the International Islamic Financial Market, for the annual period from 2002-2017. The data was analyzed using the General Method of Moment, and the results show that by controlling the population effects that proved to be significant, GDP per-capita and the rule of law have a significant impact on the development of sukuk, especially when incorporating population effects as control variables, whereby further ascertaining the effect of each macroeconomic-stability variable and institutional stability on sukuk development, especially inflation, found not to affect sukuk development. These results also confirm the previous findings, whereby inflation remains controllable at a certain level for economic development.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.3
• /
• pp.251-265
• /
• 2021

It seems a common sense that corporate social responsibility (CSR) is a key driver to attain business sustainability. Nevertheless, there has been little research on the performance of socially responsible activities, including economic and environmental responsibility activities in internationally diversified firms. The purpose of this study was to evaluate the effects of CSR activities on management performance. For this evaluation, an empirical analysis was conducted with a total of 2,520 cases, selected from companies listed on the Korea Composite Stock Price Index market for six years from 2013 to 2018. As proxies for management performance, financial date such as a total asset net profit ratio and a total asset-operating ratio were used. A multivariate regression analysis was conducted to test hypotheses. The results of this analysis indicated that firms in the CSR outstanding group are significantly higher than other groups in management performances. In addition, CSR activities of internationally diversified firms positively influence their total asset net profit ratio and total asset-operating ratio. The results suggested that CSR activities of these firms can play a significant role in enhancing management performances amid the economic status of Korea, where a degree of export dependency is high.

• Journal of the Korean Society of Industry Convergence
• /
• v.25 no.3
• /
• pp.467-476
• /
• 2022

The Bank of Korea raised the benchmark interest rate by a quarter percentage point to 1.75 percent per year, and analysts predict that South Korea's policy rate will reach 2.00 percent by the end of calendar year 2022. Furthermore, because market volatility has been significantly increased by a variety of factors, including rising rates, inflation, and market volatility, many investors have struggled to meet their financial objectives or deliver returns. Banks and financial institutions are attempting to provide Robo-Advisors to manage client portfolios without human intervention in this situation. In this regard, determining the best hyper-parameter combination is becoming increasingly important. This study compares some activation functions of the Deep Deterministic Policy Gradient(DDPG) and Twin-delayed Deep Deterministic Policy Gradient (TD3) Algorithms to choose a sequence of actions that maximizes long-term reward. The DDPG and TD3 outperformed its benchmark index, according to the results. One reason for this is that we need to understand the action probabilities in order to choose an action and receive a reward, which we then compare to the state value to determine an advantage. As interest in machine learning has grown and research into deep reinforcement learning has become more active, finding an optimal hyper-parameter combination for DDPG and TD3 has become increasingly important.

• Asia-Pacific Journal of Business
• /
• v.13 no.3
• /
• pp.361-373
• /
• 2022

Purpose - This paper analyzes the student determinants of college non-completion and estimates the effects of each determinant on college non-completion. Design/methodology/approach - We use student panel data from a large Korean university from 2011 to 2021. Our results are from estimation of fixed-effects logit model. Findings - The results show that grade point average, participation in extracurricular activities, the number of counseling sessions with teachers, and financial aid are the main determinants of college non-completion. Academic probation, which is defined as any person who has a cumulative grade point average below a one point seven five, increases the non-completion rate by 2.6 percentage points and an one-point rise in extracurricular activities index reduces the rate by 0.1 percentage points. The effects of each determinant are heterogeneous across student sub-groups which are separated by gender, nationality, and academic discipline. Research implications or Originality - Tailored support programs for academically discouraged students that incorporate student characteristics and backgrounds are necessary to increase college completion rates and degree attainment.

• Asia-Pacific Journal of Business
• /
• v.13 no.2
• /
• pp.123-138
• /
• 2022

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.