• 경영과학
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• 제26권2호
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• pp.19-35
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• 2009

This paper investigated performance of the Markowitz's portfolio selection model with applications to Korean stock market. We chose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remained the same with only 0.1% change, Samsung-Group-Funds showed 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, achieved 52% return. We performed sensitivity analysis on the duration of financial data and the frequency of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperformed investment by the fund managers who possess rich experiences on stock trading and actively change portfolio by the minute-by-minute market news and business information.

• 펄프종이기술
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• 제36권2호
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• pp.10-16
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• 2004

Structures and strengths of paper have been studied by analyzing fibers characteristics depending on refining methods. Mixing ratio of softwood and hardwood fibers and fibers characteristics have been analyzed for paper quality improvement. In this study flocculation and drainage of fibers were analyzed to improve the production efficiency and paper product's quality. Floc size and drainage rate depending on stock consistency and fines content were analyzed. Total amount of drainage during drainage process was measured quantitatively by using DI(drainage index). Floc size, viscosity of floc and dewatering times were also measured. In the case of refining load $2.8 kg_f$ , drainage was occurred by filtration mechanism rather than thickening mechanism because drainage resistance increased by fibrillation of fibers. Therefore, the drainage rate of $2.8 kg_f$ refining load stock was slower than that of $5.6 kg_f$.

• 경영과학
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• 제24권2호
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• pp.115-126
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• 2007

Weekly minima of daily log returns of Korean composite stock price index 200 and its five industry-based business divisions over the period from January 1990 to December 2005 are fitted using two block-based extreme distributions: Generalized Extreme Value(GEV) and Generalized Logistic(GLO). Parameters are estimated using the probability weighted moments. Applicability of two distributions is investigated using the Monte Carlo simulation based empirical p-values of Anderson Darling test. Our empirical results indicate that both the GLO and GEV models seem to be comparably applicable to the weekly minima. These findings are against the evidences in Gettinby et al.[7], who claimed that the GEV model was not valid in many cases, and supported the significant superiority of the GLO model.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.185-195
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• 2020

This study examines the association between governance quality at country level and stock market performance. Specifically, the study investigates the influence of control of corruption, government effectiveness, political stability and absence of violence, rule of law, regulatory quality, and voice and accountability on all-share index of the stock markets of the six Gulf Cooperation Council (GCC) countries. This study is anchored on two theories - the Efficient Market Hypothesis (EMH) and Institutional Theory. The study employs panel data spanning from 2006 to 2017. The findings show that political stability and absence of violence and rule of law exhibit a significant positive impact on stock market performance, while regulatory quality and voice and accountability have a significant, but negative relationship with stock market performance. The results imply that quality of governance in terms of rule of law and political stability devoid of violence have strong impact on stock market returns. Similarly, improved stock market returns are largely dependent on the efficiency of the institutional environment of market as investors are always wary of the inherent risks associated with the uncertainty of the market. This study has crucial policy implications for the government of the GCC countries and stock market participants.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.759-770
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• 2021

Using a DCC - GARCH model analysis, this paper examines the existence of financial contagion from the U.S. stock market to the Vietnamese and the Philippine stock markets during the global financial crisis and the COVID-19 pandemic crisis. We use daily data from the S&P 500 (U.S.), VN-Index (Vietnam), and the PSEi (the Philippines). As a result, there is no evidence of contagion from the U.S stock market to the Philippine stock market that can be found during global financial crisis, while the Vietnamese market is influenced by this effect. Besides, both these developing stock markets (the Vietnamese and Philippine stock markets) are influenced by the contagion effect in COVID-19 pandemic crisis. Another finding is that the contagion effect during the coronavirus pandemic crisis in Vietnam is smaller than that during the global financial crisis, however, the opposite is the case for the Philippines. It is noticed that the Philippines seems to be more affected by the contagion effect from the COVID-19 pandemic than Vietnam at the time of this study. Because financial contagion is important for monetary policy, asset pricing, risk measurement, and portfolio allocation, the findings in this paper may give some useful information for policymakers and investors.

• 응용통계연구
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• 제11권2호
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• pp.317-333
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• 1998

기하브라우니안모션(geometric Brownian motion) 모형과 자기상관(autoregressive) 모형을 이용하여 최근 우리나라의 주가(지수)시계열을 분석하고, 이 두 모형을 예측의 관점에서 비교하였다. 고려한 7개의 주가(지수)시계열 모두에서 예측을 시행할 때 이용하는 자료의 개수가 작을수록 기하브라우니안모션 모형 이 상대적으로 더 나은 예측치를 주는 것으로 나타났다.

• 디지털산업정보학회논문지
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• 제6권4호
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• pp.297-305
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• 2010

Employment number by areas is composed of various factors for groups and time series. In this paper, we use the panel data for finding various variables and using this, we analyzed the factors that is major influence to employment number by areas. For analysis we looked at employment number by areas, the region for analysis consist of seven groups, that is, the metropolitan city(such as Busan, Daegu, Incheon, Gwangiu, Daejeon, Ulsan.) and Seoul. Analyzing period be formed over a 63 time points(2005.01.- 2010.03). We examined the data in relation to the employment number by occupational job, unemployment rate, monthly household income, preceding business composite index, consumer price index, composite stock price index. In looking at the factors which determine employment number by areas job, evidence was produced supporting the hypothesis that there is a significant negative relationship between unemployment rate and monthly household income the consumer price index. The consumer price index and composite stock price index are significant positive relationship, preceding business composite index is positive relationship, it are not significant variables in terms of employment number by areas job.

• 대한토목학회논문집
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• 제29권3D호
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• pp.357-362
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• 2009

최근 국내 도로 사업은 예산투자 및 시설규모가 적정수준에 도달하였거나 또는 중복 과잉 투자되고 있다는 논란이 증가함에 따라 도로의 추가적인 건설에 대한 부정적 인식이 확산되고 있는 실정이다. 실제로 최근 도로부문에 대한 2003년 약 9조 원이 투자된 이후로 지속적으로 감소하여 2007년 약 7조 3천억 원 수준으로 감소하고 있다. 도로시설이란 각 산업부문과 국민경제에 큰 영향을 끼치는 중요한 생산요소이며, 이에 대한 투자는 경제 성장에 있어 필수불가결한 요소이다. 따라서 효율적인 투자를 위해 적정 도로시설 규모를 산정하는 것은 매우 중요하다. 본 논문에서는 도로보급률 관련 기존 지표와 추가 지표를 제안한 후 OECD국가들 중 적합한 비교 대상(국토계수가 유사)을 선정하여 우리나라의 도로스톡 수준을 비교분석하였다. 또한 소득수준이 GDP 2만 달러(2007년 기준)에 도달함에 따라 향후 3만 달러, 4만 달러 도달 시 목표 스톡량을 확보하기 위한 우리나라 도로시설의 규모를 선정하였다. 정교한 이론이 부재한 상황에서, 국토면적, 자동차보급대수, 인구, 소득수준 등을 활용하여 국가간 도로보급률을 비교분석하는 것은 우리나라의 현 수준을 진단하고 미래 목표를 설정하는데 있어서 실용가치가 매우 높다고 하겠다.

• Journal of Information Technology Applications and Management
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• 제21권4호
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• pp.97-125
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• 2014

This study investigates the relationship between stock index and its associated nearby futures markets based on the cost-of-carry model. The purpose of this study is to explore the existence of mispriced futures contracts, and to test whether traders can earn trading profits in real financial market using the information about the mispriced futures contracts. This study suggests the concordance correlation coefficient to investigate the existence of mispriced futures contracts. The concordance correlation coefficient gives a desirable result for trading profits that results from a comparative analysis among profits from trading at the time to indicate trading opportunities determined by the degree of the difference between the observed market price and the theoretical price of a futures contract. In addition, this study also explains that the concordance correlation coefficient developed from the mean square error (MSE) has a statistically theoretical meaning. In conclusion, this study shows that the concordance correlation coefficient is appropriate for analyzing the relationship between the observed stock index futures market price and the theoretical stock index futures price derived from the cost-of-carry model.

• The Journal of Asian Finance, Economics and Business
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• 제9권3호
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• pp.275-283
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• 2022

This study aims to investigate the influence of internal factors on the bankruptcy risk of an enterprise through a sample of 439 companies listed on the Vietnamese stock exchange. The research collected secondary data from annual audited financial statements from 2008 to 2019 of listing companies. Using two different regression models with two dependent variables, six independent and control variables, we discovered that three of the model's six factors, namely return on total assets, current payment rate, and financial leverage, influence the risk of bankruptcy and account for 86.78% of the variations in firm bankruptcy risk. Financial leverage has the opposite effect on the Z-score index, increasing the risk of bankruptcy of listed firms. Return on total assets and current ratio have a positive impact on the Z-score index, reducing the risk of bankruptcy of listed companies. The findings also revealed that there is no evidence that the size of a corporation, its fixed asset investment ratio, or the size of an auditing firm have an impact on the Z-score index. These findings provide crucial evidence for business owners and managers, as well as shareholders making future capital investment decisions. Our findings can be applied to other businesses in Vietnam and similar jurisdictions.