• 분석과 대안
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• 제3권1호
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• pp.135-157
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• 2019

The linkages between asset prices and macroeconomic outcomes are long-standing issue to both economists and monetary authorities. This paper explores the impact of asset prices on output and price in China. It focuses on the impacts of asset prices on the low quantiles of GDP gap and high quantiles of price gaprespectively. The main findings are the following: the influence of stock price gap, stock returns, and money growth on the different quantile of GDP gap and price gap are noticeable different, and there are significant impacts on the left tail of GDP gap distribution and on the right tail of price gap distribution. This implies that the results coming from simple regression will underestimate the economic risk imposed by asset price volatility. Moreover, these results also provide the caveat that one should cautiously distinguish the meaning of asset price gap and asset price growth rate and use them, through their contents are similar in some sense. One implication for monetarypolicy is that authority should interpret the relationship between asset prices and macro-economy in wider perspectives, and make the policy decision taking the impacts of asset prices on the tails of economy.

• 유통과학연구
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• 제22권9호
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• pp.49-63
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• 2024

Purpose: This study examines how psychological heuristics influence stock price dynamics in Korea's distribution industry after significant price shocks. Research Design, Data, and Methodology: The study analyzes daily stock price movements exceeding 10% for Korean distribution companies from 1993 to 2022. It establishes anchoring heuristic reference points, including the 52-week high and low, and segments the sample based on company size and volatility. Results: We analyzed a sample previously studied by Lee et al. (2023). Our findings indicate that when a stock experiences a positive (negative) price shock near its 52-week high (or lowest price), investors in large (small) companies exhibit an optimism (pessimism) bias. This leads to overreactions and subsequent stock price reversals after the event date. Conversely, when a stock encounters a negative (positive) price shock near its 52-week high (or lowest price), investorstend to underreact due to anchoring heuristics. Thisresultsin a drift effect on the stock price after the event day. Notably, investor behavior around 52-week highs or lows directly impacts their heuristic behavior related to those price points. Conclusions: This paper uniquely examines behavioral biases among distribution-related stock investors in Korea, shedding light on stock price reversal and drift effects.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.143-150
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• 2020

This study aims to investigate the effect of oil price and exchange rate on the two Vietnamese stock market indices: VN index and HXN index. This study uses the daily data from August 1^st 2000 to October 25^th 2019 of the two Vietnamese stock indices: VN index and HNX index, the two oil price indices: BRENT and WTI, and the two exchange rates: US dollar to Vietnamese dong and Euro to Vietnamese dong. Due to the presence of heteroskedasticity in our data, we use GARCH (1,1) regression model to perform our analysis. Our findings show that the oil price has a significant positive effect on the two Vietnamese stock market indices. In terms of the stock index volatility, both the VN index and HNX index volatilities are negatively impacted by the return of oil price. While the conclusion about the impact of oil price remained consistent through all three robustness tests, the effect of exchange rate on Vietnamese stock market indices is not consistent. We find thatchanges of the USD/VND exchange rate significantly impact the return and volatility of HNX index only in GARCH (1,1) setting. Our analysis also survives a number of robustness tests.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.1113-1119
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• 2021

This study aims to determine the impact of the news coverage of the COVID-19 pandemic on the composite stocks' movement (IHSG) in Indonesia. This study used secondary data of daily time series with an observation range of March 2020-June 2020. This study used three main variables, namely, COVID-19 news, the daily price of a composite stock market index (IHSG), and interest rate. This study clarifies pandemic news into two forms to facilitate quantitative analysis, namely, good news and bad news. Both pandemic news conditions, which have been clarified, are then processed into the index and reprocessed along with two other variables using vector autoregressive (VAR). The results showed that the good news have a dominant effect on developing the composite stock price index (IHSG) in Indonesia during the COVID-19 pandemic. Although the good news dominates the composite stock price index (IHSG) movement in Indonesia, the bad news must also be anticipated. By implementing a series of macroeconomic policies that follow the conditions of the composite stock price index (IHSG) movements on the stock exchange floor, the bad news response can decrease the potential for a decline in investor confidence, so that the financial system's macroeconomic stability is maintained.

• 유통과학연구
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• 제11권10호
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• pp.63-72
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• 2013

Purpose - This study analyzes the relationship and dynamic interactions between stock price index, interest rate, price index, and housing price indices using Korean monthly data from 2000 to 2013, based on a VAR model. This study also examines Granger causal relationships among these variables in order to determine whether the time series of one is useful in forecasting another, or to infer certain types of causal dependency between stochastic variables. Research design, data, and methodology - We used Korean monthly data for all variables from 2000: M1 to 2013: M3. First, we checked the correlations among different variables. Second, we conducted the Augmented Dickey-Fuller (ADF) test and the co-integration test using the VAR model. Third, we employed Granger Causality tests to quantify the causal effect from time series observations. Fourth, we used the impulse response function and variance decomposition based on the VAR model to examine the dynamic relationships among the variables. Results - First, stock price Granger affects interest rate and all housing price indices. Price index Granger, in turn, affects the stock price and six metropolitan housing price indices. However, none of the Granger variables affect the price index. Therefore, it is the stock markets (and not the housing market) that affects the housing prices. Second, the impulse response tests show that maximum influence on stock price is its own, and though it is influenced a little by interest rate, price index affects it negatively. One standard deviation (S.D.) shock to stock price increases the housing price by 0.08 units after two months, whereas an impulse shock to the interest rate negatively impacts the housing price. Third, the variance decomposition results report that the shock to the stock price accounts for 96% of the variation in the stock price, and the shock to the price index accounts for 2.8% after two periods. In contrast, the shock to the interest rate accounts for 80% of the variation in the interest rate after ten periods; the shock to the stock price accounts for 19% of the variation; however, shock to the price index does not affect the interest rate. The housing price index in 10 periods is explained up to 96.7% by itself, 2.62% by stock price, 0.68% by price index, and 0.04% by interest rate. Therefore, the housing market is explained most by its own variation, whereas the interest rate has little impact on housing price. Conclusions - The results of the study elucidate the relationship and dynamic interactions among stock price index, interest rate, price index, and housing price indices using VAR model. This study could help form the basis for more appropriate economic policies in the future. As the housing market is very important in Korean economy, any changes in house price affect the other markets, thereby resulting in a shock to the entire economy. Therefore, the analysis on the dynamic relationships between the housing market and economic variables will help with the decision making regarding the housing market policy.

• Journal of the Korean Data Analysis Society
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• 제20권6호
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• pp.2759-2769
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• 2018

The behavioral finance view on the existence of asset pricing anomalies is based on two factors: investors' sentiment and limits to arbitrage. This paper tries to examine the effect of investors' sentiment on the stock price in the Korean stock market. In order to measure investors' sentiment, we constructed the sentiment index using principal component of five sentiment variables. By using sentiment index as an additional independent variable to three risk factors, impacts of the sentiment index on individual stocks and 25 portfolios sorted by BM-size are examined. Main results found are as follows: 1) not only all three risk factors show positive impacts on the return of individual stock, but also the sentiment index has a positive impact. SI alone explains 15% of individual return variation. 2) among four independent variables, the most important factor turned out to be the market risk factor and investors' sentiment has better explanatory power on stock price than the size effect. 3) after controlling the market risk factor, the coefficient of the sentiment index for the smallest size and highest book/market value portfolios is significantly positive. 4) all the coefficients of the sentiment index for 25 portfolios sorted by BM-size have significant positive value after controlling size or (and) value.

• 재무관리연구
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• 제25권4호
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• pp.1-24
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• 2008

본 논문은 애널리스트들의 과대예측 여부와 서울소재 기업 및 지방소재 기업의 경우 어느 쪽이 과대예측의 정도가 심한지를 분석하였고, 기업실적에 관한 추정치들과 실측치들을 비교하여 얼마만큼 애널리스트 예측이 정확한지, 또한 기업 본사가 서울과 지방에 위치함에 따라 애널리스트들의 예측 정확성 및 주가영향력에 차이가 존재하는지를 실증 분석하였다. 그 결과, 애널리스트들은 매출액, 영업이익, 순이익 모두에 있어서 과대 예측하는 경향이 있음이 발견되었고, 기업의 본사가 지방인 경우가 서울인 경우에 비하여 과대예측 정도가 심한 것으로 나타났다. 애널리스트의 이익예측 정확도는 지방소재 기업보다 서울소재 기업에 대해 더 높은 것으로 나타났다. 애널리스트 보고서 공표의 주가영향력은 투자의견의 하향의 경우 서울소재 기업의 주가는 하락하기 보다는 오히려 상승하였으며, 목표주가 하향의 경우에도 서울소재 기업의 주가가 덜 하락하여 전반적으로 서울소재 기업에 대한 주가영향력이 보다 긍정적으로 나타났다. 한편, 외국인 지분율이 높은 기업일수록 투자의견 하향시에는 주가가 덜 부정적으로, 목표주가 하향시에는 주가가 더 부정적으로 영향을 받는 것으로 나타났다.

• 한국정보시스템학회지:정보시스템연구
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• 제30권3호
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• pp.21-45
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• 2021

Purpose This paper analyzed the impacts of domestic stock market by a global pandemic such as COVID-19. We investigated how the overall pattern of the stock market changed due to the impact of the COVID-19 pandemic. In particular, we analyzed in depth the pattern of stock price, as well, tried to find what factors affect on stock market index(KOSPI) in the healthcare industry due to the COVID-19 pandemic. Design/methodology/approach We built a data warehouse from the databases in various industrial and economic fields to analyze the changes in the KOSPI due to COVID-19, particularly, the changes in the healthcare industry centered on bio-medicine. We collected daily stock price data of the KOSPI centered on the KOSPI-200 about two years before and one year after the outbreak of COVID-19. In addition, we also collected various news related to COVID-19 from the stock market by applying text mining techniques. We designed four experimental data sets to develop decision tree-based prediction models. Findings All prediction models from the four data sets showed the significant predictive power with explainable decision tree models. In addition, we derived significant 10 to 14 decision rules for each prediction model. The experimental results showed that the decision rules were enough to explain the domestic healthcare stock market patterns for before and after COVID-19.

• Asia Marketing Journal
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• 제16권1호
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• pp.169-193
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• 2014

The earlier studies have verified that brand values have significant impact on financial values such as stock return and stock price to justify marketing costs for brand building. Except for Mizik and Jacobson (2008), however, little research has addressed what kinds of brand components composing brand values have a significant relationship with financial values. As a follow-up research of Mizik and Jacobson (2008), this research focuses on what kinds of relationships exist between the unanticipated change of each brand asset component and stock return, one of the financial values. The authors selected six brand asset components from the Korea-Brand Power Index(K-BPI) data in which 'Top of Mind,' 'Unaided Awareness,' and 'Aided Awareness' are brand awareness measures and 'Image,' 'Purchase Intention,' and 'Preference' are brand loyalty measures. Out of those six brand components, they found that unanticipated changes of 'Top of Mind,' 'Unaided Awareness,' 'Image,' and 'Preference' have significantly positive effect on unexpected stock return change. Therefore, they conclude that these four brand asset components provide incremental information in explaining unanticipated stock return.

• The Journal of Asian Finance, Economics and Business
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• 제7권2호
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• pp.107-117
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• 2020

The research objective of the paper is to clarify the factors influencing system risks of listed companies in Vietnam, with a focus on clarifying the relationship and quantifying the impacts of ownership structure on systemic risk of listed companies. The data used in this study included financial statements and stock price data of listed companies on the Ho Chi Minh City Stock Exchange and Hanoi Stock Exchange of Vietnam stock market in the period from 2010 to 2017. The paper used the method of estimation in establising the regression models to choose among three models: Random Effect Model, Fixed Effect Model or Pooled OLS for regression using Stata statistical software. The research results showed that state ownership and ownership by foreign investors were positively related to systemic risk, while ownership by domestic investors had a reverse relationship with systemic risk of listed companies in Vietnam. In addition, as a control variable, both company size and profitability had an effect on the systemic risk of listed companies in the research sample. Based on the research results, the authors interpreted some of the implications in order to minimize systemic risks in the operation of listed companies in Vietnam.