• The Korean Journal of Financial Management
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• v.25 no.3
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• pp.131-153
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• 2008

This paper calculates the Risk Index of Korean securities industry that summarizes the information contained in seventeen financial indicators that represent risk categories such as capital adequacy(C), asset quality(A), earnings(E), and liquidity(L) by using the NBER statistical methodology. For the validation of Risk Index, expected default frequency has been used, and the result has been proved to be positive. According to the compiled Risk Index, the level of risks of Korean securities industry has been decreasing from the second quarter of 2003 to the first quarter of 2006 by 22 percent. But the risk has been increasing during the periods from the first quarter of 2002 to the first quarter of 2003 and from the first quarter of 2006 to the last quarter of 2006.

• Journal of Digital Convergence
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• v.18 no.11
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• pp.43-49
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• 2020

The purpose of this study was to analyze factors affecting the housing market by setting household loans and M2, which are liquidity indicators, and the industrial production index reflecting economic fluctuations, as variables, and to determine the effect of expected housing prices. An empirical analysis was conducted based on the data from January 2005 to May 2020, and the HP filter was applied to the real house price as the expected house price variable. As a result of the analysis, it was found that real household loans, real M2, and so on, had an effect on house prices, and expectations for past house prices and house prices increased the house prices in the present period. These results show that even though the liquidity expansion is aimed at revitalizing the economy, it can affect housing prices as well.

• International Commerce and Information Review
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• v.9 no.3
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• pp.23-32
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• 2007

The purpose of this study is to estimate and analyse the relationship between efficiency of bank industry and macroeconomic variables. We employ Johansen's multivariate cointegration methodology, since the model must be stationary to avoid the spurious results. The empirical results show that our model is stationary as well as mean-reverting. This paper also applies impulse-response functions to get additional information regarding the responses of the bank spread to the shocks economic variables such as long and short term interest rates differential, banking organ liquidity, business cycle index, and foreigner's net equity investment. The results indicate that while the bank spread respond positively to liquidity and equity investment shocks and then decay very quickly.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.91-131
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• 2007

In the paper, the effects of sidecar on index arbitrage trading and non-index arbitrage trading in the Korean stock market are examined. The analyses of return, volatility, and liquidity dynamics illustrate that there are no distinct differences for index arbitrage group and non-index arbitrage group surrounding the sidecar events. For further analysis, we construct pseudo-sidecar sample and analyse the effects of the actual sidecar and pseudo-sidecar on arbitrage sample and non-index arbitrage sample. The result of analysis using pseudo-sidecar shows that the differences between index arbitrage group and non-index arbitrage group are larger in pseudo-sidecar sample than in actual sidecar sample. This means that former results can be explained by temporary order clustering in one side before and after the event. Sidecar has little effect on non-index arbitrage group, however, it has relatively large effect on arbitrage group. These results imply that it needs to redesign the sidecar system of the Korean stock market which applies for all program trading including arbitrage and non-index arbitrage trading.

• Journal of the Korean Geotechnical Society
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• v.29 no.11
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• pp.73-84
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• 2013

When a slope failure or a debris flow occurs, a shear strength on failure plane becomes nearly zero and soil begins to flow like a non-cohesive liquid. A consistency of cohesive soils changes as a water content increases. Even a cohesive soil existing at liquid limit state has a small amount of shear strength. In this study, a water content, at which a shear strength of cohesive soils is zero and then cohesive soils will start to flow, was proposed. Three types of clays (kaolinite, bentonite and kaolinite (50%)+bentonite (50%)) were mixed with three different solutions (distilled water, sea water and microbial solution) at liquid limit state and then their water contents were increased step by step. Then, their undrained shear strength was measured using a portable vane shear device called Torvane. The ranges of undrained shear strength at liquid and plastic limits are 3.6-9.2 kPa and 24-45 kPa, respectively. On the other hand, the water content that corresponds to the value of the undrained shear strength changing most rapidly is called flow water content. The flow limit refers to the water content when undrained shear strength of cohesive soils is zero. In order to investigate the relationship between liquid limit and flow limit, the cohesive index was defined as a value of the difference between flow limit and liquid limit. The new plasticity index was defined as the value of difference between flow limit and plastic limit. The new liquidity index was also defined using flow limit. The values of flow limit are 1.5-2 times higher than those of liquid limit. At the same time, the values of new plasticity index are 2-5.5 times higher than those of original plasticity index.

• Journal of the Korean Geosynthetics Society
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• v.20 no.4
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• pp.9-18
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• 2021

In this study, the overconsolidation ratio (OCR) of soft clay soil was calculated by conducting an indoor physical experiment and a dynamics test using undisturbed soil samples from a soft clay soil field in South Korea. The OCR by depth was predicted by comparing the experimental results with the existing empirical equations. Methods using the liquidity index and the existing empirical equation by the Naval Facilities Engineering Systems Command (NAVFAC) were examined, and the results were compared with the actual measured values. The method using the liquidity index was found to be suitable for estimating the rough OCR of the ground. However, the effect of drying was not considered for the ground above the groundwater level. Therefore, an equation for the correlation equation between the depth and OCR of each region, including the ground above the groundwater level, was proposed. The proposed equation was applied to the OCR prediction of the adjacent area. The predicted values in the area composed of clay (CL, CH) were found to be in good agreement with the actual values. In the region composed of silt (ML), however, the predicted values were not consistent with the actual values. This suggests that the sedimentation and compositional characteristics, rather than the engineering characteristics of the soil, are important factors that affect the OCR prediction.

• Magazine of the Korean Society of Agricultural Engineers
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• v.37 no.E
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• pp.40-46
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• 1995

To identify the soft marine clay of the Daebul reclaimed area, the south western part of Korea, and determine their engineering properties, a series of the laboratory and field tests are conducted. The main findings are summarized from laboratory and field investigations. It is also formulated the basic geotechnical characteristic data for the porject area. The established correlations for the engineering properties are reviewed and their applicabilities are studied.

• Journal of Industrial Convergence
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• v.20 no.2
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• pp.11-19
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• 2022

This study examines the role of economic uncertainty in stock price determination in the domestic stock market. To this end, we analyzed the relationship between economic uncertainty indices at home and abroad (USA, China) and stock returns for non-financial companies in Korea from January 2000 to 2017. For the analysis model, the 3-factor model of Fama and French (1992) and the 5-factor model including momentum and liquidity were used. As a result of the analysis, a portfolio with a high beta of economic uncertainty showed higher stock returns than a portfolio with a low beta. This was the same as the US analysis result. Also, the analysis results using the US uncertainty index were more significant than the regression analysis results using the Korean economic uncertainty index.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.33 no.5
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• pp.1897-1905
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• 2013

Rheological properties such as yield stress and viscosity is the main parameters to determine the fluidity of the debris flow. In this study, several series of rheometer tests were performed to investigate rheological properties of fine-grained soil samples with various sand contents and various liquidity indices. Test results indicated that the general shape of the flow curves for fine-grained soils had characteristics of a shear thinning fluid, with a decrease in viscosity as shear rate increases. The yield stress and viscosity of fine-grained soil samples with same sand content gradually decreased as the liquidity index increased. At the same liquidity index, yield stress and viscosity of fine-grained soil increased with an increase in sand content. The yield stress and viscosity of fine-grained soil greatly decreased with a slight increase in water content. Also, the yield stress and viscosity tend to increase with increasing concentration by volume($C_v$) of the fluid matrix. The values of the four coefficients ${\alpha}_1$, ${\alpha}_2$, ${\beta}_1$, and ${\beta}_2$ were obtained by regression analysis for each fine-grained soil.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.135-145
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• 2020

This paper provides the practical application of a linear shrinkage framework on Vietnam stock market. The cumulative data points observed in this analysis are 468 weeks from January 2011 to December 2019. All the companies listed on Ho Chi Minh City Stock Exchange (HOSE), except the companies under two years period from Initial Public Offering (IPO), are considered. The cumulative number of stocks picked is therefore 350 companies. The VNINDEX, which is the Vietnam Stock Index, is used as a reference index for shrinking to a single-index model. The empirical results show that the shrinkage of covariance matrix for portfolio optimization gives the promising results for the investors on Vietnam stock market. The shrinkage method helps the investors to produce the optimal portfolio in the sense of having higher profit with lower levels of risk compared to the portfolio of the traditional SCM method. Moreover, the portfolio turnover of shrinkage method is always kept at low magnitudes, and this makes the shrinkage portfolios save much transaction costs and reduce the liquidity risks in the trading process. In addition, the ability of shrinkage method in making profit is once again confirmed by the Alpha coefficient that achieves a high positive value.