• The Korean Journal of Financial Management
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• v.27 no.2
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• pp.169-204
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• 2010

This paper examines the dynamic relationship between fund flow and market risk at the aggregate level and explores whether sudden sharp changes in fund flow (fund run) can cause a systemic risk in the Korean financial markets. We use daily and weekly data and regression and VAR analysis. Main results of the paper are as follows: First, in the stock market, a concurrent and a lagged unexpected fund flows have a positive relationship with market volatility. A positive shock in fund flow predicts an increase in stock market volatility. In the bond market, an unexpected fund flow has a negative relationship with the default risk premium, but a positive relationship with the term premium. And an unexpected fund flow of the money market fund has a negative relationship with the liquidy risk, but the explanatory power is very low. Second, for examining whether changes in fund flow induce a systemic risk, we construct a spillover index based on the forecast error variance decomposition of VAR model. A spillover index represents that how much the shock in fund flow can explain the change of market risk in a market. In general, explanatory powers from spillover indexes are so fluctuant and low. In the stock market, the impact of shocks in fund flow on market risk is relatively high and persistent during the period from the end of 2007 to 2008, which is the subprime-mortgage crisis period. In bond market, since the end of 2008, the impact of shocks in fund flow spreads to default risk continually, while in the money market, such a systematic effect doesn't take place. The persistent patterns of spillover effect appearing around a certain period in the stock market and the bond market suggest that the shock to the unexpected fund flow may increase the market risk and can be a cause of systemic risk in the financial markets. However, summarizing the results of regression and VAR model analysis, and considering the very low explanatory power of spillover index analysis, we can conclude that changes in fund flow have a very limited power in explaining changes in market risk and it is not very likely to induce the systemic risk by a fund run in the Korean financial markets.

• Journal of Navigation and Port Research
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• v.40 no.3
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• pp.139-146
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• 2016

Due to the continuous increasement of the container cargoes, each container port market has been growing as well. Moreover, the competition among container terminal operators located in the same port is also growing in order to attract more container cargoes. This paper looked into the market structures, market conducts and market performances of container ports in Busan and Shanghai. The index which has been most widely used to measure market structure, the Hirschman-Herfindahl Index (HHI), is computed by squaring each supplier's market share, then adding the squared shares. This paper estimated the market performance as profitability (PCM, ROA), growth (total TEU, rate of the increasement of TEU) and examined the effects of the HHI on the profitability and growth in a container terminal operators in Korea and China. The major findings of this study is that the market structure has effects on market performance in Busan port (total TEU) and Shanghai port (PCM, ROA and total TEU). As a result of analysing this study, market structure has an effect on market performance in Busan and Shanghai port, but the power of influence can be changed by market concentration index and various market conduct of companies.

• The Journal of the Convergence on Culture Technology
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• v.9 no.3
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• pp.281-286
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• 2023

This study analyzed the causal relationship between housing sales prices and jeonse prices in Seoul, specifically in the Gangnam and Gangbuk neighborhoods. The time-invariant Granger causality test showed bidirectional causality between the sales price and the jeonse price in Seoul and Gangbuk, but no bidirectional causality was found in Gangnam. However, the time-varying Granger causality test showed a Granger causal relationship between the housing jeonse price and the sales price for the entire period after 1993 in all three areas. Notably, the causal effect of jeonse prices on sales prices has been continuous in Gangnam since 2010. These analysis results suggest that an increase in liquidity supply to the jeonse market could increase volatility throughout the housing market, given the strong influence between the sales and jeonse markets in both directions.

• The Korean Journal of Applied Statistics
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• v.17 no.2
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• pp.239-252
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• 2004

It is known that the domestic and the U.S. stock prices tend to move together as those markets are closely interrelated. In this study, cointegration and causal relationships among the four stock price indexes of KOSPI, KOSDAQ, DOWJONES and NASDAQ are carefully investigated for the period of declining stock prices in the long run. When all indexes move in a similar fashion, cointegration does not exist and the causal linkages between the domestic and the U.S. stock prices appear relatively complex. On the other hand, when the domestic and the V.S. stock prices move in a different manner, cointegration exists and the causal relationships appear relatively simple. NASDAQ is apparently found to lead the domestic stock market in both periods, which is consistent with the actual market situation when the If industry is under recession.

• The Korean Journal of Financial Management
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• v.17 no.1
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• pp.137-159
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• 2000

재무경제학에서 많은 연구들이 주식가격과 거시경제활동과의 이론적 모형을 설정하고 이를 점증하고자 하였다. 이 분야에서 지금까지 주로 ARMAX 모형이나 VAR 모형들이 사용되어 왔으나, 이러한 방법들은 주식가격과 거시경제변수들간의 장기적인 균형관계를 파악할 수 없다는 한계점을 안고 있다. 따라서, 본 연구의 목적은 이러한 한계점을 극복할 수 있는 VECM을 이용하여 우리나라 증권시장과 거시경제변수들간의 장기적인 균형관계를 규명하고자 함에 있다. 검증결과, 모든 변수들의 시계열이 불안정적인 것으로 확인된 관계로, 다변량시계열의 공적분 관계를 검증하는 Johansen 검증을 VECM 모형의 구조 안에서 실시하였다. 종합주가지수와 거시경제변수들간에는 장기적 안정관계를 나타내는 공적분관계가 있는 것으로 나타났으며, 종합주가지수와 거시경제변수들간의 관계는 대부분 이론적인 관계에서 예상하는 부호와 동일한 부호를 갖으며 통계적으로도 유의하였다. 그리고, VECM의 설명력이 종래에 주로 사용하였던 VAR 모형의 설명력보다 더 우월하게 나타났다.

• The Journal of Information Technology
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• v.4 no.1
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• pp.81-95
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• 2001

Development of IT and rapid diffusion of internet change trade environment from real space trade to cyber trade. So, effect of internet analyzed buyer/seller relationship and market entry.

• Proceedings of the Korea Technology Innovation Society Conference
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• 1998.05a
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• pp.20-20
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• 1998

본 논문에서는 소프트웨어 시장의 경제적 분석을 시도한다. 이를 위하여 수요측면과 공급측면에서 소프트웨어 시장의 경제적 특성을 고찰하고 산업의 구조적인 특성을 파악한다. 그리고 소프트웨어 산업이 성장된 배경과 기업의 전략적 고려에 입각한 시장 환경도 분석한다. 또한 소프트웨어 시장의 경제적인 특징에 의해서 발생하는 시장 실패에 관련한 사회적 교정수단으로서의 지적재산권과의 관계와 지적 재산권이 과도하게 보호되지 말아야 한다는 경제적 논리를 소개한다.

• International Area Studies Review
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• v.14 no.1
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• pp.55-76
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• 2010

This paper analyses interaction between yen/dollar exchange rates and NIKKEI index using bivariate GJR-GARCH(1,1) model. The data employed for the study is daily data series for the period of Jan. 4, 1995 through Aug. 30, 2009. One of main findings is that market inefficiency appears in the periods of financial crisis. Second, the volatility of exchange rates and stock returns has more increased in the wake of the volatility shock of the previous period during financial crisis than during non-financial crisis. Third, interestingly, the asymmetric volatility shock by bad news in those markets is bigger in financial crisis period than in non financial crisis. Fourth, in the period of current global financial crisis triggered by subprime mortgage crisis in U.S, volatility shock at the previous period is bigger than that of Asian financial crisis that happened in 1997. Lastly, the correlation between both returns of exchange rates and stock prices turns up positive according to the empirical estimation. This result may come from the fact that Japanese stock market does not have much attraction for international financial investment compared to stock markets of neighbouring countries like China, Korea and so on, while real sector's contribution to the economy is considered more importantly.

• Management & Information Systems Review
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• v.31 no.1
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• pp.45-63
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• 2012

The purpose of this study is to investigated the association between the percentage of common stock held by a company's CEO and measure firm performance in down and up markets. We found that managerial ownership is associated positively with firm performance. We also found that although firms with high insider ownership generally outperform other firms, this relationship is diminished in down markets and is increased in up market. These results suggest that investment strategies based on the assumption that high insider ownership is associated positively with financial performance may be faulty in declining market.

• The Journal of the Korea Contents Association
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• v.16 no.6
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• pp.726-738
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• 2016

This paper aims to examine structural relationship between the influence factors of customer loyalty, hypothesizing that m-CRM characteristics, market orientations, relationship quality and relationship length plays a crucial role in achieving customer loyalty in insurance companies. Total of 255 valid sample data were used to test study hypotheses. By using Structure Equation Modeling(SEM) method, the results show that m-CRM characteristics and customer orientation significantly influence to relationship quality except competitor orientation and all relationship quality are very significantly influence to customer loyalty being consisted of customer retention and word of mouth effect. In addition, the modulation effect of relationship length is confirmed about relationship between relationship quality and customer loyalty. A real situation we conducted our research may enable academics and practitioners to understand the antecedents and outcomes of m-CRM implementation in terms of market orientation.