• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.75-106
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• 2007

In this study, it is analyzed whether oil price plays a major role in the pricing return on Koran stock market and examined why the covariance risk between oil and return on stock is different in each industry. Firstly, this study explores whether the expected rate of return on stock is pricing due to global oil price factors as a function of risk premium by using a two-factor APT. Also, it is examined whether spill-over effects of oil price volatility affect the beta risk to oil price. Considering the asymmetry of oil price volatility, we use the GJR model. As a result, it shows that oil price is an independent pricing factor and oil price volatility transmits to stock return in only electricity and electrical equipment. Secondly, the two step-analyzing process is introduced to find why the covariance between oil price factor and stock return is different in each industry. The first step is to study whether beta risk exists in each industry by using two proxy variables like size and liquidity as control variables. The second step is to grasp the systematic relationship between the difference of liquidity and size and beta to oil price factor by using the panel-data model which can be analyzed efficiently using the cross-sectional data formed with time series. Through the analysis, we can argue that oil price factor is an independent pricing factor in only electricity and electrical equipment having the greatest market capitalization, and know that beta risk to oil price factor is a proxy of size in the other industries. According to the result of panel-data model, it is argued that the beta to oil price factor augments when market capitalization increases and this fact supports the first assertion. In conclusion, the expected rate of return of electricity and electrical equipment works as a function of risk premium to market portfolio and oil price, and the reason to make beta risk power differentiated in each industry attributes to the size.

• Journal of the Korean Home Economics Association
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• v.40 no.12
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• pp.49-61
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• 2002

The purpose of this study was to investigate the effect of clothing involvement on the perceived risk in internet shopping and store selection criteria. The subjects used for the study were 210 male and 338 female college students. The clothing involvement consisted of pleasure, symbolism, and selection difficulty factors. The perceived risk consisted of size/defect risk, social psychological risk, privacy risk, delivery risk, and price risk. The store selection criteria had security/service, entertainment/variety, price/convenience factors. The results showed that consumers were segmented by four groups based on clothing involvement factors: clothing pleasure group, symbolism group, confidence group, and low clothing involvement group. The four segmented groups differed in regard to the perceived risk, store selection criteria, and demographics. For example, clothing pleasure group perceived the size/defect risk and social psychological risk higher than did the other groups. Also, the clothing pleasure group considered entertainment/variety more important and had younger female consumers.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.63-71
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• 2020

In this paper, we propose the new time-varying coefficient GARCH-in-Mean model. The benefit of our model is to allow the risk-return parameter in the mean equation to vary over time. At the end of 2019 to the beginning of 2020, the world witnessed two shocking events: COVID-19 pandemic and 2020 oil price war. So, we decide to use the daily data from December 2, 2019 to May 29, 2020, which cover these two major events. The purpose of this study is to find the dynamic movement between risk and return in four major oil markets: Brent, West Texas Intermediate, Dubai, and Singapore Exchange, during COVID-19 pandemic and 2020 oil price war. For the European oil market, our model found a significant and positive risk-return relationship in Brent during March 26-April 21, 2020. For the North America oil market, our model found a significant positive risk return relationship in West Texas Intermediate (WTI) during March 12-May 8, 2020. For the Middle East oil market, we found a significant and positive risk-return relationship in Dubai during March 12-April 14, 2020. Lastly, for the South East Asia oil market, we found a significant positive risk return relationship in Singapore Exchange (SGX) from March 9-May 29, 2020.

• Information Systems Review
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• v.17 no.2
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• pp.1-27
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• 2015

Internet shopping has continued to grow rapidly in the past decade. The main cause of this growth was the cheap price and convenience. However, internet shopping is uncertain compared to off-line shopping malls. Consumers don't have a chance to directly see and touch the products they will purchase. Many previous studies have suggested a trust to resolve this uncertainty. For purposes of the study, we examined how trust affects word-of-mouth effect and third-party assurance. Furthermore, using perceived risk and perceived price as moderating effects, we analyzed to see how each group-that is, those with high perceived risk and low perceived risk and those with high perceived price and low perceived price-shows differences in trust building. The results of empirical study found that both two variables of word-of-mouth effect and third-party assurance have significant impacts in trust building of internet shopping malls. It was proven that each group-those with high perceived risk and low perceived risk and those with high perceived price and low perceived price-showed differences in trust building. The results are expected to provide both the researchers of the trust study and hands-on worker with important implications.

• The Journal of Industrial Distribution & Business
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• v.10 no.12
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• pp.35-42
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• 2019

Purpose : This study examines The impact of human resource investment in internal control on stock price crash risk. Effective internal control ensures that information provided is complete and accurate, financial statements are reliable. By overseeing management, internal control systems can reduce agency costs between management and outside parties. In Korea, firms have to disclose information about internal control systems. The working experience of human resources in internal control systems is also provided for interested parties. If a firm hires more experienced internal control personnel, it can better facilitate the disclosure of information. Prior studies reported that information asymmetry between managers and investors increases future stock price crash risk. Therefore, the longer working experience internal control personnel have, the lower probability stock crashes have. Research design, data and methodology : This study analyzed the association between the working experience of internal control personnel and crash risk using regression analysis on KOSPI listed companies for fiscal years 2016 through 2017. The sample consists of 1,034 firm-years of non-financial firms whose fiscal year end on December 31. Career spanning data of internal control personnel was collected from internal control reports. The professionalism(IC_EXP) was measured as the logarithm of the average working experience of internal control personnel in months. Negative conditional skewness(NSKEW) and down-to-up volatility (DUVOL) are used to measure firm-specific crash risk. Both measures are based on firm-specific weekly returns derived from the expanded market model. Results : We find that work experience in internal control environment is negatively related to stock price crashes. Specifically, skewness(NSKEW) and volatility (DUVOL) are reduced when firms have longer tenure of human resources in internal control division. The results imply that firms with experienced internal control personnel are less likely to experience stock price crashes. Conclusions : Stock price crashes occur when investors realize that stock prices have been inflated due to information asymmetry. There is a learning effect when internal control processes are done repetitively. Thus, firms with more experienced internal control personnel could manage their internal control more effectively. The results of this study suggest that firms could decrease information asymmetry by investing in human resources for their internal control system.

• The Journal of Society for e-Business Studies
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• v.25 no.4
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• pp.125-141
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• 2020

Recent Studies emphasize the effect of investors attention, recognition and sentiment on the trading behavior of retail investors and stock price variation. In this study, we use Naver Trend to measure investors'attention and investigate the relation between investor attention and price synchronicity, total risk and systematic risk of stocks. Using various research methodologies such as portfolio analysis, fixed effect regression and dynamic panel analysis, we find consistent results. First, stock price synchronicity is increased with lager average search volume, but with less search variability. Second, both average search volume and its variability are positively related to total risk and beta of stocks. These results can be interpreted that search volume sharply increases only when stock-related event occurs.

• Journal of the Korean Home Economics Association
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• v.40 no.6
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• pp.69-83
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• 2002

This study examined the effects of demographic variables on buying behavior, and investigated buyers'perceived value and risk perception of the internet shopping mall. The sample was collected by a department store in Daegu, and it included 1,732 individuals using the Cyber Mall. Research methods used in this study were simple statistics, t-test and ANOVA. The buyers perceived values through the internet shopping mall were classified into five categories-price, time, convenience, intrinsic attributes, reliability and the risk perception also was classified such as the overall purchasing process, quality of products, exposure of the personal information, delivery system, refund and exchange. The major findings of this study were 1) most important categories affecting their buying behavior were the value of convenience and following values in order were time, price, reliability, intrinsic attributes. 2) the risk perception were overall purchasing behavior, quality of products, exposure of personal information, delivery, and refund & exchange in order. 3) age of buyers, buying experience on the internet shopping mall, and gender were the important factors affecting the buyers'perceived value and risk. 4) the study also, showed that according to the variety of products, buyers perceived the value and risk differently, for example, the price was the most important perceived value in case of food product. The implication of the study is to strategically suggest how to enhance the buyers'perceived value and diminish perceived risk of different products.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.60 no.2
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• pp.266-272
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• 2011

Real Time Pricing(RTP) is used not only to stabilize the price volatility in electricity market, but to hedge the price risk for Load Serving Entity(LSE). This paper presents an efficient method to reduce the risk of the price volatility in real-time electricity market. For designing the RTP, load patterns of customer are calculated by applying the demand elasticity and customer's utility is also analyzed to compute the RTP revenue through the risk-attribute of the LSE. In the end, the distribution of the LSE's profits can be evaluated to lead the optimal RTP value, depending on the level of customer's participation. Results from the case study based on PJM data are reported to illustrate the proposed method.

• Journal of Distribution Science
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• v.15 no.8
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• pp.47-54
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• 2017

Purpose - According to agency theory, managers have incentives to adjust firm revenues to meet earnings expectations or delay bad news disclosure because of performance-based compensation and their reputation in the market. When the bad news accumulates, stock prices fail to reflect all available information. Thus, market prices of stocks are higher than their intrinsic value. After all, bad news crosses the tipping point, it comes out all at once. That results in stock crashes. Auditors can decrease stock crash risk by reducing agency costs through their informational role. Especially, stock price crash risk is expected to be lower for firms adopting high-quality audits. We focus on distribution and service industry to examine the relation between audit quality and stock price crash risk. Industry specialization and auditor size are used as proxies for auditor quality. Research design, data and methodology - Our sample contains distribution and service industry firms listed in KOSPI and KOSDAQ during a period of 2004-2011. We use a logistic regression to test whether auditor quality influences crash risk. Auditor quality was measured by industry specialist auditor and Big4 / non-Big4 dichotomy. Following the approach in prior researches, we use firm-specific weekly returns to measure crash risk. Firms experiencing at least one stock price crash in a specific week during year are classified as the high risk group. Results - The result of analyzing 429 companies in distribution and service industry is summarized as follows: Above all, it is shown that higher audit quality has a significant negative(-) effect on the crash risk. Crash risk is alleviated for firms audited by industry specialist auditors and Big 4 audit firms. Therefore, our results show that hypotheses are supported. Conclusions - This study is very meaningful as the first study which investigated the effects of high audit quality on stock price crash risk. We provide evidence that high-quality auditors reduce stock price crash risk. Our finding implies that the risk of extreme losses can be reduced through screening of high-quality auditors. Therefore investors and regulators may utilize our findings in their investment and rule making decisions.

• Journal of Navigation and Port Research
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• v.48 no.3
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• pp.206-213
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• 2024

This paper aims to investigate the causal relationship between geopolitical risk and stock price volatility in the shipping industry. Given its international nature and dependence on global trade, this industry is exposed to various uncertainties and risk factors. This study specifically focuses on the impact of geopolitical risk, which has gained significant attention in recent years due to events such as the Russia-Ukraine War and the Israel-Hamas War. To analyze this relationship, the study utilizes vector autoregressive model-based causality tests. The research estimates the causal relationship between geopolitical risk indicators and the stock price volatility of five shipping companies listed on the Korea Exchange. The study covers the period from 2000 to 2023. The results indicate the following: Firstly, an increase in geopolitical risk leads to a rise in stock price volatility for shipping companies. Moreover, the impact of actual geopolitical events, rather than just diplomatic disputes, is statistically significant. Lastly, the impact of geopolitical risk is particularly significant in the bulk shipping sector.