• Journal of the Korean Data Analysis Society
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• v.20 no.6
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• pp.3015-3024
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• 2018

This study investigates the recent asymmetric effect of news on stock return volatility in Asian five stock markets - Japan, Korea, Singapore, Taiwan, and Malaysia - since 2000. This study uses the GJR-M model which shows a different effect of a good and bad news on volatility. Empirical results show that the unexpected negative return has a more crucial effect on stock return volatility than the unexpected positive one does in all five stock markets. This implies that the bad news of the stock markets gives a more remarkable effect on volatility than good news does. This study finds that it is very important for market participants and regulation practitioners to distinguish between positive and negative return shocks in the stock markets since bad news might have a larger impacts on volatility than good news.

• Management & Information Systems Review
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• v.28 no.4
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• pp.93-108
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• 2009

This study examines the asymmetric volatility in the Korean bond market and stock market by using the KTB Prime Index and KOSPI. Because accurate estimation and forecasting of volatility is essential before investing assets, it is important to understand the asymmetric response of volatility in bond market. Therefore I investigate the existence of asymmetric volatility in Korean bond market unlike the previous studies which mainly focused on stock returns. The main results of the empirical analysis with GARCH and GJR-GARCH model are as follow. At first, it exists the asymmetric volatility on KOSPI returns like the previous studies. Also, I find that the GJR-GARCH is more suitable one than GARCH model for forecasting volatility. Second, it does not exist the asymmetric volatility on KTB Prime Index returns. This result is showed by that using the GARCH model for forecasting volatility in bond market is sufficient.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.191-212
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• 2003

Recently, there is a growing body of literature that suggests that information inefficiency is one of the causes of the asymmetric volatility. If this explanation for the asymmetric volatility is appropriate, then innovations, such as the introduction of futures, may be expected to impact the asymmetric volatility of stock market. As transaction costs and margin requirements in the futures market are lower than those in the spot market, new information is transmitted to futures prices more quickly and affects spot prices through arbitrage trading with spots. Also, the merit of the futures market may attract noise traders away from the spot market to the futures market. This study examines the impact of futures on the asymmetry of stock market volatility. If the asymmetric volatility is significant lower post-futures and exist in the futures market, it has validity that the asymmetric volatility is caused by information inefficiency in the spot market. The data examined are daily logarithmic returns on KOSPI 200 stock price index from January 4, 1993 to December 26, 2000. To examine the existence of the asymmetric volatility in the futures market, logarithmic returns on KOSPI 200 futures are used from May 4, 1996 to December 26, 2000. We used a conditional mode of TGARCH(threshold GARCH) of Glosten, Jagannathan and Runkel(1993). Pre-futures the spot market exhibits significant asymmetric responses of volatility to news and post-futures asymmetries are significantly lower, irrespective of bear market and bull market. The results suggest that the introduction of stock index futures has an effect on the asymmetric volatility of the spot market and are inconsistent with leverage being the sole explanation of asymmetry. However, it is found that the volatility of futures is not so asymmetric as expected.

• The Korean Journal of Financial Studies
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• v.3 no.2
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• pp.157-185
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• 1996

본 연구는 한국증권시장에서 변동성의 정보비대칭효과를 조건부 이분산모형을 이용하여 검증하고자 하였다. 검증방법으로는 Engle과 Ng (1993)의 연구에 기초하여 정보반응곡선(News impact curve)으로 분석하였다. 분석자료로 1980년 부터 1995년 까지의 한국종합주가지수, 일별 초과수익률자료를 사용하였다. 정보반응곡선에 이용한 모형은 GARCH 모형, EGARCH 모형, TGARCH 모형, AGARCH 모형등 4개의 조건부 이분산 모형이다. 무조건 분산을 이용한 정보 반응곡선의 함수형태로 보면, 분산의 정보반응에 있어서 GARCH 모형은 대칭적으로 반응하며 나머지 조건부 이분산 모형인 EGARCH 모형, TGARCH 모형, 그리고 AGARCH 모형은 비대칭적으로 반응하는 모형임을 알 수 있었다. 실증분석결과 정보반응곡선을 통하여 악재(bad news)정보에 따라 예측하지 못한 주식수익률의 하락이 호재(good news)에 따른 예측하지 못한 주식수익률의 상승보다 더 큰 변동성을 발견할 수 있었다. 그러나 비대칭성의 크기는 그다지 큰 것으로 보이지 않았다. 모형적합성 검정에서도 4개의 조건부 이분산 모형은 모두 적합한 것으로 보인다. 그중에서도 EGARCH 모형과 TGARCH 모형이 상대적으로 주가예측력이 뛰어나 보인다. 그러나 변동성의 정보 비대칭반응을 통계적으로 유의적인 것으로 확인한 모형은 TGARCH모형 뿐이었다.

• Economic Analysis
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• v.24 no.3
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• pp.1-36
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• 2018

When it comes to explaining the relationship between inventory investment and business fluctuations, the production smoothing theory and the stock-out avoidance theory take contradictory stances. Decision-making related to inventory investments of corporations is thought to be influenced by both motives, but the relative sizes or directions of their respective influences can differ depending upon the phase of the business cycle. Against this backdrop, this paper differs from existing studies in that it theoretically tests the relative significances of the production smoothing and stock-out avoidance motives in the inventory investment dynamics, while placing its analytical focus on determining the existence and patterns of the asymmetric dynamics of inventory investment over the business cycle phases. To this end this paper sets up a non-linear model that is expanded from the existing linear inventory investment model, and checks whether its predictive power is better than that of the existing model. The results of analysis confirm the nature of the asymmetric dynamics of inventory investment over the business cycle phases. A stock-out avoidance motive appears but there is no significant production smoothing motive in boom times. In downturns, in contrast, the stock-out avoidance motive is insignificant, but a quality of asymmetric dynamics in which changes in inventory cause the deepening of recessions, due to the non-convexity of production costs proposed by Ramey (1991), is detected. This paper confirms that a model considering the asymmetric dynamics of inventory investment can have better predictive power than one that does not consider it, through within-sample and out-of-sample predictions and various predictive power tests. These research results are expected to be useful for economic forecasting, through their enhancement of the understandings of the inventory investment dynamics and of the nature of its business cycle destabilization.

• Asia Marketing Journal
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• v.1 no.1
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• pp.6.1-6.16
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• 1998

입찰계약방식은 발주기업인 구매자가 최선의 공급자를 결정하기 위해 선택 가능한 하나의 전략적 도구로서 매우 중요한 의의를 지니고 있다. 본연구는 대리이론과 거래비용분석에 의해 발주기업의 입찰계약방식결정에 영향을 미치는 요인을 이론적으로 제시하고 있다. 본 연구는 입찰계약방식이 거래의 관계지향성과 계약의 명시성의 두가지 차원을 본질로 하고 있으며, 이들 두가지 차원에 영향을 미치는 요인으로 정보의 비대칭성, 지각된 위험의 크기, 성과측정 및 감시의 필요성, 응찰기업에 대한 신뢰와 몰입수준, 발주기업의 상대적 의존도의 다섯 가지 요인을 들고 있다. 본연구는 입찰계약방식이 이들 요인에 의해 어떻게 결정되는가를 명제의 형태로 제시하고 있으며, 실증분석을 위한 몇 가지 제언도 함께 제시하고 있다.

• Proceedings of the Korean Vacuum Society Conference
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• 2011.02a
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• pp.222-222
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• 2011

용량성 결합 플라즈마는 반도체 및 디스플레이 공정에서 널리 쓰이기 때문에 그 방전 특성에 관한 연구는 매우 중요하다. 하지만 대부분의 연구는 상대적으로 유사한 면적을 갖는 전극 구조에서 주로 진행되어 왔다. 따라서 본 연구는 두 전극의 면적 차이가 매우 큰 비대칭 구조를 갖는 용량성 결합 플라즈마에서 방전 특성을 측정하였으며, 전력 소비 모드 전이와 플라즈마 밀도와의 상관관계에 관한 연구를 진행하였다. 인가 전력 또는 방전 전류가 증가함에 따라서 플라즈마에 전달된 전력은 초기에는 선형적으로 증가하다가 점차적으로 급격히 증가하였으며, 방전 저항은 감소하다가 증가하는 형태의 전이를 보였다. 전달 전력과 방전 저항의 변화는 용량성 결합 플라즈마에서 초기에는 대부분의 전력이 플라즈마 내의 전자에 의해 소비되다가 점차 쉬스 내의 이온의 가속 에너지로 소비되는 전력 소비 모드 전이에 의한 것이며, 이로 인해 플라즈마 밀도는 처음에는 큰 폭으로 증가하다가 그 증가 폭이 줄어들었다. 이러한 방전 특성에 관한 연구는 다양한 아르곤 압력 범위에서 인가 전력을 증가시킴에 따라서 실험하였으며, 스퍼터, 에칭 등 산업용 플라즈마 공정에서 최적의 방전 조건 형성을 위해 큰 도움이 되리라 예상된다.

• The Korean Journal of Financial Management
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• v.27 no.1
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• pp.1-30
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• 2010

This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

• Korea journal of population studies
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• v.25 no.1
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• pp.33-50
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• 2002

This study examines cross-national patterns of asymmetry of marriage tables with respect to educational level and tries to measure the degree of gender inequality across nations. A Primary assumption of the study is that gender inequality inhibits symmetric marriage between men and women. As men and women differ more in status, the rate of symmetric marriage between them declines thus producing asymmetric marriage with respect to social status. More specifically, the main object of the study is to develop statistical models and index with which to assess the patterns and degree of asymmetric marriage. Additionally, it is intended to assess the appropriateness of several theoretical perspectives for explaining these variations identified by the statistical models. Two most important such perspectives are industrialism and theory of politics and culture. To answer these questions, this study relies on twenty-seven marriage tables with respect to educational level, some from published tables, and some extracted from other sources. The main findings of the study are: (1) compared to less industrialized countries, more industrialized countries have lower degrees of asymmetric marriage(gender inequality) with respect to educational level, and (2) other things being equal, differences in politics and culture seem to have the some impact on marriage pattern; for instance, social democracy and state socialism reduce the degree of asymmetric marriage while the high emphasis on gender-based hierarchy in Asian countries seems to increase it In short, these results suggest a weaker or modified version of industrialists That is, while with economic growth most nations show a decline in the degrees of asymmetric marriage with respect to social status, for some nations the degrees of asymmetric marriage are affected by their specific politics or cultures.

• The korean journal of orthodontics
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• v.27 no.3 s.62
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• pp.445-456
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• 1997

This study was designed to examine the dental asymmetry in person with facial asymmetry and to examine the relationship between the degree of mandibular deviation and asymmetry of maxillary dental arch. The sample!, were divided to asymmetry group and normal group. The asymmetry group consisted of 21 subjects(6 males and 15 females) and their mean age was 23.5 years. The normal group consisted of 20 subjects(10 males and 10 females) and their mean age was 18.6 years. Anteroposterior, transverse position of all maxillary teeth except 3rd molars, vortical position of maxillary 1st molars, and angulation of central incisors were measured. The anterioposterior and transverse positions of teeth were measured on the maxillary dental casts, the vertical position of maxillary 1st molars and angulation of maxillary incisors were measured on posteroanterior cephalometric radiographs. The data were analyzed to examine whether significant asymmetries existed in each of the asymmetry and normal groups. The results of this study were as follows : 1. In the asymmetry group, the correlation between the degree of mandibular deviation and that of 3-dimensional dental asymmetry was not so high. 2. In the asymmetry group, the teeth in deviated side were more laterally positioned than that of undeviated side. There were differences in the anteroposterior position of maxillary 1st and 2nd molars and the angulation of maxillary central incisors. 3. In the asymmetry group, the transverse asymmetry was larger in the posterior teeth rather than in the anterior teeth and larger than the anteroposterior asymmetry.