• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.5
• /
• pp.1-9
• /
• 2022

The study examines stock prices (LOGKSE) and exchange rate (LOGPK)-Pakistani Rupee vis-à-vis US Dollar- interactions in Pakistan. This study employs a multivariate VAR-GARCH model using monthly data from January 2012 to October 2020. The results of the Johansen cointegration test show that there is no relationship between Foreign Exchange Market and Stock Market in the long run. In the short-run, stock exchange returns are affected slightly negatively by the changes in the foreign exchange market, but the foreign exchange market does not seem to be affected by the ups and downs of the stock exchange. The VAR model and Granger Causality show that both markets are strongly influenced by their own lagged values rather than by the lagged values of one another and show weak or no correlation between the two markets. Volatility persistence is observed in both the stock and foreign exchange markets, implying that shocks and past period volatility are major drivers of future volatility in both markets. Thus greater uncertainties today will induce panic and consequently generate higher volatility in the future period. This phenomenon has been observed many times on Pakistan Stock Exchange especially. The results have important implications for local international investors in portfolio diversification decisions and risk hedging strategies.

• The Korean Journal of Financial Management
• /
• v.25 no.3
• /
• pp.111-130
• /
• 2008

This paper compares long term equilibrium relation of KOSPI 200 which is underling stock and its futures by using general method fractional cointegration instead of existing integer cointegration. Existence of integer cointegration between two price time series gives much wider information about long term equilibrium relation. These details grasp long term equilibrium relation of two price time series as well as reverting velocity to equilibrium by observing difference coefficient of error term when it renounces from equilibrium relation. The result of this study reveals existence of long term equilibrium relation between KOSPI200 and futures which follow fractional cointegration. Difference coefficient, d, of 'two price time series error term' satisfies 0 < d < 1/2 beside bandwidth parameter, m(173). It means two price time series follow stationary long memory process. This also means impulse effects to balance price of two price time series decrease gently within hyperbolic rate decay. It indicates reverting speed of error term is very low when it bolts from equilibrium. It implies to market maker, who is willing to make excess return with arbitrage trading and hedging risk using underling stock, how invest strategy should be changed. It also insinuates that information transition between KOSPI 200 Index market and futures market does not working efficiently.

• The Korean Journal of Financial Management
• /
• v.21 no.2
• /
• pp.27-63
• /
• 2004

Since the 1980s, many multinational corporations have been issuing stocks on foreign stock exchanges, not only to enhance their investor base and liquidity, but also to diversify risks. The phenomenon has also been intensified by the rapid financial globalization and securitization trends. The main purpose of this study is to look into the long-run performance of MNCs' cross-listings of stocks on foreign stock exchanges. We use the event study and cross-sectional regression methods. We obtained some interesting empirical results about the long-run effect of cross-listings. First before the listing data the effect of cross-listing is to increase the underlying stock Vice in the local market. It may be caused by expectation of lower risk and cost of capital. However, after the listing data the stock price has been declining, even if it is not significant. Second, we examine the difference in the long-run cross-listing effect, which may be caused by the listing direction. When listing is made from a less developed market to a more developed market, the effect is better than that in the reverse direction. Furthermore, the effect is worse, when the listing company's home country is the U.S. Third, there is a negative relation between CARs and underlying stock liquidity in the local market, So it implies that a firm, whose underlying stocks are very liquid in the local market should carefully value cross-listing based upon the cost and benefit analysis. Last, but not the least we find that the long-un cross-listing effect is better, when a listing firm's ROE is higher.

• The Journal of Korea Assosiation for Disability and Oral Health
• /
• v.6 no.2
• /
• pp.77-83
• /
• 2010

This article discusses the issues of benefit and risk associated with outpatient general anesthesia and deep sedation for the special need dental patients. The purpose of administering anesthesia for patients with special needs is to provide effect dental treatment. But there are many complications such as sore throat, nausea and vomiting, airway trauma, airway obstruction and hypoxic brain damages, etc. In order to decrease incidence of complication, before general anesthesia meticulous patient evaluation is much important. But, there are a number of factors that make it difficult to accurately assess the anesthetic risk for many people with special needs. These include limited medical workups, uncooperative behavior, and difficulties in postoperative cares, etc. But Judging from several years experience of many contries, it appears that the incidence of mortalities for people with special needs in dental setting is minimal and the incidence of morbidity is limited. In the long run, the delivery of general anesthesia and deep sedation for people with special needs can be considered a very safe and successful procedure.

• Asia-Pacific Journal of Business
• /
• v.5 no.2
• /
• pp.13-24
• /
• 2014

The objective of this research is to find out the factors affecting adoption of Internet banking in India. The data is based upon a survey of 150 bank customers using a convenience sampling technique with the aid of a structured self-administered questionnaire. The research model was analyzed using Partial Least Squares (PLS) analysis. The recommended procedures have been tested which is measurement model and structural model. Perceived Usefulness, Perceived Ease of Use, Perceived Risk, Image, Results Demonstrability, Perceived Behavioral Control and Subjective Norm were influence intention to use Internet banking. However, Perceived Ease of Use, Perceived Credibility and Computer Self Efficacy were not influence intention to use Internet banking. The findings of this study are expected to be of great use to the bank marketers. An understanding of the factors identified in this study allows bank managers to direct efforts and resources in the most effective and efficient way to increase bank business in the long run and encourage their bank customer's to adopt Internet banking. Moreover, this paper contributes to the empirical literature of diffusion of financial innovations, particularly Internet banking in a developing country, such as India.

• Economic Analysis
• /
• v.27 no.3
• /
• pp.1-32
• /
• 2021

This study empirically analyzes whether bank capital channel and risk-taking channel for monetary policy work for domestic banks in South Korea by analyzing the impact of the expansionary monetary policy on the rate spread between deposit and loan, capital ratio, and loan amount. For the empirical analysis, the Uhlig (2005)'s sign-restricted SVAR(Structural Vector Auto-Regression) model is used. The empirical results are as follows: the bank's interest rate margin increases, the capital ratio improves, risk-weighted asset ratio increases, and the amount of loans increases in response to expansionary monetary shock. This empirical results confirm that bank capital channel and risk-taking channel work in domestic banks, similar to the previous research results. The implications of this study are as follows. Although the expansionary monetary policy has the effect of improving the bank's financial soundness and profitability in the short term as bank capital channel works, it could negatively affect the soundness of banks by encouraging banks to pursue risk in the long run as risk-taking channel works. It is necessary to note that the capital ratio according to the BIS minimum capital requirement of individual banks may cause an illusion in supervising the soundness of the bank. So, the bank's aggressive lending expansion may lead to an inherent weakness in the event of a crisis. Since the financial authority may have an illusion about the bank's financial soundness if the low interest rate persists, the authority needs to be actively interested in stress tests and concentration risk management in the pillar 2 of the BIS capital accord. In addition, since system risk may increase, it is necessary to conduct regular stress tests or preemptive monitoring of assets concentration risk.

• Journal of KIBIM
• /
• v.6 no.2
• /
• pp.39-46
• /
• 2016

While institutional matters such as improvement on Basic Guidelines for Construction Safety are greatly concerned to reduce falling accidents at construction sites, there are short of studies on how to practically predict accident signs at construction sites and to preemptively prevent them. As one of existing accident prevention methods, it was attempted to build the early warning system based on standardized accident scenarios to control the situations. However, the investment cost was too high depending on the site situation, and it did not help construction workers directly since it was developed to mainly provide support operational work support to safety managers. In the long run, it would be possible to develop the augmented reality based accident prevention method from the worker perspective by extracting product information from BIM, visually rendering it along with site installation materials term and comparing it with the site situation. However, to make this method effective, the BIM model should be implemented first and the technology that can promptly process site situations should be introduced. Accordingly, it is necessary to identify risk signs through lightweight image processing to promptly respond only with currently available resources. In this study, it was intended to propose the system concept that identified potential risk factors of falling accidents by histogram equalization, which was known as the fastest image processing method presently, used visual words, which could enhance model classification by wording image records, to determine the risk factors and notified them to the work manager.

• The Korean Journal of Applied Statistics
• /
• v.28 no.3
• /
• pp.393-406
• /
• 2015

We examine how to model mortality risk using the adaptation of the mean-reverting processes for the two factor model proposed by Cairns et al. (2006b). Mortality improvements have been recently observed in some countries such as United Kingdom; therefore, we assume long-run mortality converges towards a trend at some unknown time and the mean-reverting processes could therefore be an appropriate stochastic model. We estimate the parameters of the two-factor model incorporated with mean-reverting processes by a Metropolis-Hastings algorithm to fit United Kingdom mortality data from 1991 to 2015. We forecast the evolution of the mortality from 2014 to 2040 based on the estimation results in order to evaluate the issue price of a longevity bond of 25 years maturity. As an application, we propose a method to quantify the speed of mortality improvement by the average mean reverting times of the processes.

• Journal of Cerebrovascular and Endovascular Neurosurgery
• /
• v.26 no.1
• /
• pp.46-50
• /
• 2024

Objective: Diagnostic cerebral angiograms (DCAs) are widely used in neurosurgery due to their high sensitivity and specificity to diagnose and characterize pathology using ionizing radiation. Eliminating unnecessary radiation is critical to reduce risk to patients, providers, and health care staff. We investigated if reducing pulse and frame rates during routine DCAs would decrease radiation burden without compromising image quality. Methods: We performed a retrospective review of prospectively acquired data after implementing a quality improvement protocol in which pulse rate and frame rate were reduced from 15 p/s to 7.5 p/s and 7.5 f/s to 4.0 f/s respectively. Radiation doses and exposures were calculated. Two endovascular neurosurgeons reviewed randomly selected angiograms of both doses and blindly assessed their quality. Results: A total of 40 consecutive angiograms were retrospectively analyzed, 20 prior to the protocol change and 20 after. After the intervention, radiation dose, radiation per run, total exposure, and exposure per run were all significantly decreased even after adjustment for BMI (all p<0.05). On multivariable analysis, we identified a 46% decrease in total radiation dose and 39% decrease in exposure without compromising image quality or procedure time. Conclusions: We demonstrated that for routine DCAs, pulse rate of 7.5 with a frame rate of 4.0 is sufficient to obtain diagnostic information without compromising image quality or elongating procedure time. In the interest of patient, provider, and health care staff safety, we strongly encourage all interventionalists to be cognizant of radiation usage to avoid unnecessary radiation exposure and consequential health risks.

• Environmental and Resource Economics Review
• /
• v.22 no.4
• /
• pp.671-689
• /
• 2013

Transmission mechanisms of volatility between two crude oil markets (WTI and Brent markets) have drawn the attention of numerous academics and practitioners because they both play crucial roles in portfolio and risk management in crude oil markets. In this context, we examined the volatility linkages between two representative crude oil markets using a VECM and an asymmetric bivariate GARCH model. First, looking at the return transmission through the VECM test, we found a long-run equilibrium and bidirectional relationship between two crude oil markets. However, the estimation results of the GARCH-BEKK model suggest that there is unidirectional volatility spillover from the WTI market to the Brent market, implying that the WTI market tends to exert influence over the Brent market and not vice versa. Regarding asymmetric volatility transmission, we also found that bad news volatility in the WTI market increases the volatility of the Brent market. Thus, WTI information is transmitted into the Brent market, indicating that the prices of the WTI market seem to lead the prices of the Brent market.