• Asian Journal of Business Environment
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• v.11 no.4
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• pp.17-29
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• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• Korea Trade Review
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• v.46 no.4
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• pp.113-130
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• 2021

This study aims to analyze the WTO-inconsistent aspects of the single rate presumption of the United States in establishing and imposing anti-dumping duties for non-market economy exporters. By examining the drafting history in the GATT/WTO negotiations and the practice of the single rate presumption for non-market economies by the United States from a comparative perspective, it critically addresses the inherent lack of pertinent disciplines under the framework of the WTO Anti-Dumping Agreement in establishing dumping margins for exporters of non-market economies. The WTO Dispute Settlement Body leaves open the possibility of allowing the investigating authority to consider multiple exporters and the exporting country as a single entity. However, the study argues that it is difficult in practice for the investigating authority to make a single-entity decision in a WTO-consistent manner. The study also finds an incompatibility in the notion between establishing dumping margins for 'individual' exporters and 'non-market economies.' A proper discipline for non-market economies under the multilateral anti-dumping norm needs to be reconsidered in the era of persistent trade conflicts between the United States and China.

• Journal of Information Technology Applications and Management
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• v.9 no.4
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• pp.65-78
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• 2002

We propose a new application method of the datamining technique that might help building an efficient trade strategy in the stock market, where the analysis of the huge database is essential. The proposed method utilizes the association rules among the price changes of individual stock from the market basket analysis (a datamining technique typically used in the Marketing field) in building the strategy We also apply the proposed method to the daily stock prices in Korean stock market, from Jan. 2000 to Dec. 2001. The application results show that the proposed method gives an significantly higher yield rate than the actual stock chage rate.

• Communications for Statistical Applications and Methods
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• v.31 no.5
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• pp.535-556
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• 2024

Measuring stock market volatility and its determinants is critical for stock market participants, as volatility spillover effects affect corporate performance. This study adopted a novel approach to analysing and implementing GARCH-MIDAS modelling methods. The classical GARCH as a benchmark and the univariate GARCH-MIDAS framework are the GARCH family models whose forecasting outcomes are examined. The outcome of GARCH-MIDAS analyses suggests that inflation, interest rate, exchange rate, and oil price are significant determinants of the volatility of the Johannesburg Stock Market All Share Index. While for Nigeria, the volatility reacts significantly to the exchange rate and oil price. Furthermore, inflation, exchange rate, interest rate, and oil price significantly influence Ghanaian equity volatility, especially for the long-term volatility component. The significant shock of the oil price and exchange rate to volatility is present in all three markets using the generalized autoregressive conditional heteroscedastic-mixed data sampling (GARCH-MIDAS) framework. The GARCH-MIDAS, with a powerful fusion of the GARCH model's volatility-capturing capabilities and the MIDAS approach's ability to handle mixed-frequency data, predicts the volatility for all variables better than the traditional GARCH framework. Incorporating these two techniques provides an innovative and comprehensive approach to modelling stock returns, making it an extremely useful tool for researchers, financial analysts, and investors.

• International Area Studies Review
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• v.14 no.1
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• pp.99-119
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• 2010

This study explores the natural gas market and the oil market in the U.S. and the European oil market. It focuses on two kinds of analyses; one is to confirm whether there is the predictive power between spot and futures within homogeneous commodity market(or inter-heterogeneous commodity market) through Granger-causality test in terms of the return rate and the volatility. The other is to examine the spot price stabilizing effect of futures price through regression analysis. When it comes to the predictive power of inter-commodity market, there was a conflicting aspect between the return rate of spot and futures. Overall, however, its statistical significance was low. With respect to the volatility, we found that the natural gas market has little influence on the oil market unlike the predictive power of oil market on natural gas market. Concerning the return rate of the predictive power within homogeneous commodity market, we found that the return rate of spot has the predictive power on futures only in the European market. In addition, we identified that there is feedback between spot and futures in the all commodity markets regarding volatility. As a result of the spot price stabilizing effect analysis of futures price, futures volatility increased the spot volatility.

• KOREAN JOURNAL OF PACKAGING SCIENCE & TECHNOLOGY
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• v.11 no.2
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• pp.109-114
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• 2005

This paper introduces the current status of total overseas packaging industries. The total market of the world packaging industry reached over 500 billion dollars in 2002. The top nations for the packaging industry were U.S. at about 27 percent, the countries of Western Europe at about 27%, Japan at about 14%. In terms of packaging materials, the overall market rate for paper, plastics, and metal parts in world packaging industry was 84%. Also, the market rate of glass, packaging machine, and others was only 5-6%. Among EU nations, Germany showed largest packaging consumption of 23 percent in 2000, and consumed about 17,125,814 ton of packaging materials yearly. For paper and paperboard cartons, the percentage used for the packaging consumption was about 39.4%. The consumption rate of plastic and glass packaging was approximately 14.6% and 23.7% respectively. For metal packaging the consumption rate was about 5.9%. In Japan, the production rate of packaging materials was decreased slowly at paper, metal, glass, and wood areas, but plastic packaging showed a constant rate of growth. In China, total production of packaging industry amounted to about 33.7 billion in 2003. The paper packaging in china was a remarkable production rate of 32%. The production rate of plastic and printing packaging was 28% and 20% respectively. The rate of packaging industry for printing in China was much higher than that in other countries.

• Journal of Korean Society for Quality Management
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• v.38 no.3
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• pp.340-353
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• 2010

Properly designed and well-executed services enable e-commerce companies to capture the unique needs and preferences of customers, help them build customer loyalty, and thereby, strengthen their competitiveness in the marketplace. An object of this study is the new open-market company and it has only 3 percent of the market share. Therefore, it is needed to raise the market share by improving the service qualities. This article presents a six sigma project for service quality improvement in the open-market company. This study was carried out based on five steps of DMAIC which is six sigma technique. First, a defect rate was defined as unsatisfaction rate. In addition, 50-people data was analyzed and it was shown that the defect level was 2.5 sigma level. In this study, in order to raise the sigma level, novel eight action items were determined based on SIPOC, FDPM, cause and effect diagram, matrix chart, Pareto chart and statistical analysis.

• KDI Journal of Economic Policy
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• v.26 no.2
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• pp.281-314
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• 2004

This paper theoretically formulated and empirically explored the relationship between exchange rate pass-through (ERPT) for (average) market price and an individual country's price, using steel products data in the US market, with special reference to two major steel exporting countries, Korea and Japan. It was found that the direction of market ERPT can be different from that of individual ERPT that each exporter experiences, due to strategic interactions among producers and different parameters. Vector error correction (VEC) models and impulse response analysis were used with the statistical inference based on the bootstrap-after- bootstrap of Kilian (1998) for short-run, and the fully modified estimation of Phillips and Hansen (1990) was used for long-run. Empirical results indicate that market ERPT in the US market due to changes in Korea-US exchange rates is different from those due to changes in Japan-US exchange rates. The framework developed in this study indicates that this phenomenon is attributed to either (i) the two countries have individual ERPTs of different magnitudes and directions for the products in the US market, or (ii) the pricing strategies of the other exporters' (to the US steel market) respond differently depending on whether the price of the product from Korea changes or that from Japan does. As each exporter's ERPT can be significantly different, and market response to each country's ERPT can be also different, this study concludes that it is crucial for an exporter to understand how competitors in the market respond to changes in its price, as well as to understand how its price changes when the relevant exchange rate fluctuates.

• Journal of The Korean Digital Architecture Interior Association
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• v.12 no.1
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• pp.89-98
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• 2012

While the housing transaction price of Seoul tends to be stagnant or declining in line with the housing market recession since 2007, the jeonse price keeps continual increase. Such flow of jeonse price change has a serious influence on ordinary person's housing stability seriously. Therefore, it is very meaningful in terms of social policy to analyze the trend of recent jeonse price change. This study aims to have an empirical analysis of structural characteristics of the trend of recent jeonse price change. After the review of various previous studies, this study selected housing jeonse price index, non-sold house quantity, jeonse vs. transaction price rate, and housing construction performance as analytical variables, and employed monthly time series resources from January 2007 to April 2011. As a result, when the housing supply reduced, the potential quantity for jeonse market reduced that occurred unbalance of supply and demand in jeonse market. In turn, it caused the increase of jeonse price. And, in case of jeonse vs. transaction price rate change, the rate increased which means the increase of required rate of return of invested demand. As such, the increase of market risk degenerates the investment sentiment which caused the reduction of quantity for jeonse market as a submarket.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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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.