• East Asian Economic Review
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• v.27 no.2
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• pp.145-176
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• 2023

This paper investigates short selling behavior, particularly by foreign investors, during event days of non-normal times on an intraday basis in the Korean stock market around the global financial crisis. Although, in the several subsamples, we cannot exclude the predatory short-selling possibility, we did not find any conclusive evidence of abusive short selling behaviors in the overall intraday trading activities. While foreign investors demonstrate higher levels of participation in short-sale trading, their impact on price declines is not as pronounced compared to the effects of pure selling. Following the lift of the short-sale ban, foreign investors appear to engage in long selling trading more frequently, and their influence on price changes primarily stems from long selling rather than short selling compared to the past.

• Management Science and Financial Engineering
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• v.19 no.2
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• pp.37-42
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• 2013

This paper suggests a numerical method for valuation of European and American options under the two L$\acute{e}$vy Processes, Normal Inverse Gaussian Model and the Variance Gamma model. The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the existing numerical method, the lattice-based method.

• The KIPS Transactions:PartD
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• v.9D no.5
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• pp.955-962
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• 2002

Commercial internet auction systems have been successfully used recently. In those systems, because reserve prices of auction items are given by sellers only, the success bid rate can be decreased due to the large difference between the reserve price and the normal price. In this paper, we propose an agent that generates reserve prices to sellers based on past auction data and item prices gathered from the web. Through performance experiments, we show that the successful bid rate increases by preventing sellers from making unreasonable reserve prices. Using the pricing agent, we design and implement an XML-based auction system on the web.

• Journal of Distribution Science
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• v.20 no.12
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• pp.81-87
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• 2022

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk-tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.671-679
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• 2021

House ownership is considered as one of the important pre-conditions for marriage in China. Given that gender imbalance is a prominent issue in the country, competition for marriage partners might motivate males to look for a house and probably bigger and more expensive house. This is believed to have caused house price hikes in recent years. This study aims to investigate the impact of gender imbalance on house prices using data from 30 provinces in China for the 2000-2017 period. The results based on the generalized method of moments (GMM) estimations show that house price is strongly influenced by gender imbalance. However, there is no evidence to support differential effects across eastern and mid-western regions. One potential reason is that pre-marriage house ownership has become a common culture for the whole community and therefore it does not vary significantly across regions. There are several important policy implications. Firstly, the issues should be addressed by the policymakers at national level and not regional level. Secondly, the government should intervene to bring back gender ratio to its normal level. Finally, the government should limit the number of houses people can buy and increase the supply of houses in the market.

• International Area Studies Review
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• v.20 no.1
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• pp.167-181
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• 2016

In Korea, the transportation & telecommunication service industry is composed of public sector entities, such as public transportation and the postal service, and private sector entities. The public sector may be regulated in terms of pricing or is guaranteed a normal profit. Markup can be a subject for regulation. This paper is to set up the markup equation, estimate the industrial markup, and analyze the markup determinants by estimating the factor price elasticities of markup in the Transportation & Telecommunication industry. The factor price elasticities of markup were estimated to be -0.07 in wage rate, -0.45 in import price index, and -0.13 in interest rates. We suggest that import price and interest rate are major factors to be considered first of all in regulating the transportation & telecommunication industry.

• The Journal of Fisheries Business Administration
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• v.40 no.2
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• pp.49-70
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• 2009

This study proviedes GARCH model(Bollerslev, 1986) to analyze the structural characteristics of price volatility in domestic aquacultural fish market of Korea. As a case study, flatfish and rock-fish are analyzed as major species with relatively high portion in an aspect of production volume among fish captured in Korea. For analyzing, this study uses daily market data (dating from Jan 1 2000 to June 30, 2008) published by the Noryangjin Fisheries Wholesale Market which is located in Seoul of Korea. This study performs normality test on trading volume and price volatility of flatfish and rock-fish as an advanced empirical approach. The normality test adopted is Jarque-Bera test statistic. As a result, first, a null hypothesis that "an empirical distribution follows normal distribution" was rejected in both fishes. The distribution of daily market data of them were not only biased toward positive(+) direction in terms of kurtosis and skewness, but also characterized by leptokurtic distribution with long right tail. Secondly, serial correlations were found in data on market trading volume and price volatility of two species during very long period. Thirdly, the results of unit root test and ARCH-LM test showed that all data of time series were very stationary and demonstrated effects of ARCH. These statistical characteristics can be explained as a reasonable ground for supporting the fitness of GARCH model in order to estimate conditional variances that reveal price volatility in empirical analysis. From empirical data analysis above, this study drew the following conclusions. First of all, from an empirical analysis on potential effects of seasonality and the day of week on price volatility of aquacultural fish, Monday effects were found in both species and Thursday and Friday effects were also found in flatfish. This indicates that Monday is effective in expanding price volatility of aquacultural fish market and also Monday has higher effects upon the price volatility of fish than other days of week have since it has more new information for weekend. Secondly, the empirical analysis led to a common conclusion that there was very high price volatility of flatfish and rock-fish. This points out that the persistency parameter($\lambda$), an index of possibility for current volatility to sustain similarly in the future, was higher than 0.8-equivalently nearly to 1-in both flatfish and rock-fish, which presents volatility clustering. Also, this study estimated and compared and model that hypothesized normal distributions in order to determine fitness of respective models. As a result, the fitness of GARCH(1, 1)-t model was better than model where the distribution of error term was hypothesized through-distribution due to characteristics of fat-tailed distribution, was also better than model, as described in the results of basic statistic analysis. In conclusion, this study has an important mean in that it was introduced firstly in Korea to investigate in price volatility of Korean aquacultural fishery products, although there was partially a limited of official statistic data. Therefore, it is expected that the results of this study will be useful as a reference material for making and assessing governmental policies. Also, it is looked forward that the results will be helpful to build a fishery business plan as and aspect of producer, and also to take timely measures to potential price fluctuations of fishery products in market. Hence, it is advisable that further studies related to such price volatility in fishery market will extend and evolve into a wider variety of articles and issues in near future.

• Management Science and Financial Engineering
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• v.11 no.1
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• pp.1-24
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• 2005

The results of a study of the coordination effect in stocking and promotional markdown policies for a supply chain consisting of a retailer and a discount outlet (DCO) are reported here. We assume that the product is sold in two consecutive periods: the Normal Sales Period (NSP) and the subsequent Promotional Markdown Sales Period (PSP). We first study an integrated supply chain in which managers in the two periods design a common system so as to jointly decide the stocking quantities, markdown time schedule, and markdown price to maximize mutual profit. Next, we consider a decentralized supply chain. An uncoordinated contract is designed in which decisions are decentralized to optimize the individual party's objective function. Here, three sources of system inefficiencies cause the decentralized system to earn a lower expected system profit than that in the integrated supply chain. The three sources are as follows: in the decentralized system the retailer tends to (1) stock less, and (2) keep a longer sales period, and the DCO tends to (3) stock fewer leftovers inventories and charge a higher markdown price. Finally, a numerical experiment is provided to compare the coordinated model with the uncoordinated model to explore factors that make coordination an effective approach.

• Journal of the Korean BIBLIA Society for library and Information Science
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• v.22 no.3
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• pp.269-288
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• 2011

Acquisition processes in public libraries, especially as influenced by policies and regulations both in national and regional levels have not been in the main area of concerns in the research of library and information science. While the area of collection management has yet been one of the major issues in this filed, public library book-purchasing in the major factor to achieve effective library collections. This study concentrated on the policies and regulations that attempts to normalize and control the acquisition process in public libraries. This research analyzed and investigated (1) various policies and regulations regarding the library collection as public procurement, (2) legitimacy of decision between normal price procurement and discounted price contract under the current policy on normal retail price of books, (3) budget allocation, (4) policies on library acquisition processes. Suggestions are also added for the efficient collection building in public libraries.

• KDI Journal of Economic Policy
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• v.27 no.1
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• pp.185-209
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• 2005

This study examines ERPT with asymmetric response and both import and export market shares, using wool trade data. The study found that, asymmetric response may be as common as symmetric response. In addition, the responses (both in price and quantity demanded) to the changes in exchange rate are considerably different across goods, and even for the homogenous goods, across countries. In case of depreciation, the export price changes more than appreciation case in general, and as a result the destination price changes less. It is also found that the cases of excessive or perverse pass-through are found more frequently than reported by previous studies. This finding points out that strategic behavior of firms or unexpected response to exchange rate fluctuation takes place more frequently than we commonly expect or take, in particular at disaggregated levels. When the model considers asymmetric responses of the export price to appreciation and depreciation (of exporter's currency), the estimation provided that for 39 trade cases out of 83, export price responded to appreciation and depreciation in different fashions, although the normal response was the dominating phenomenon with 99 cases or about 60% out of 166 cases. Market shares affected the extent and direction of responses in select cases. These findings will have important implications for policy makers and traders.