• Journal of Korea Port Economic Association
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• v.29 no.2
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• pp.63-79
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• 2013

The fundamental endeavor of this study is to investigate the asymmetric relationship between bunker price and Baltic Dry-bulk Index (hereafter BDI). Previous investigations employ linear form based analysis between oil price and BDI but we develop nonlinear and asymmetric cointegration method, which is properly able to capture the decreasing and increasing periods differently. The empirical results show there is no relationships in linear model (e.g. Engle and Granger's methods). On the contrary, our estimate reveals there is significant long-run relationship with asymmetric framework, which implies the necessity of nonlinear and asymmetric consideration to the bunker price analysis.

• Communications for Statistical Applications and Methods
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• v.18 no.4
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• pp.527-535
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• 2011

This study proposes a modified definition about $C_{pk}$ based on median as the centering parameter in order to more easily control the process since the mean does not represent any quantile of the asymmetric process distribution. Then we consider an estimate and derive the asymptotic normality for the estimate of the modified $C_{pk}$. In addition, we provide an example with asymmetric distributions and discuss the estimation for the limiting variance that are followed by some concluding remarks.

• 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.

• Korean Journal of Applied Biomechanics
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• v.25 no.1
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• pp.131-140
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• 2015

Purpose : The purpose of this study was to analyze the coordination of the trunk tilting angle and bilateral lower limbs according to the stirrups length during trot in equestrian. Methods : Participants selected as subject were consisted of adult male(n=7, mean age: $45.00{\pm}3.78yrs$, mean height: $172.50{\pm}2.44cm$, mean body mass: $76.95{\pm}4.40kg$, mean, mean leg length: $97.30{\pm}2.60cm$). They were divided into 3-types of stirrups lengths(67 cm, 72 cm, 77 cm) during trot. The variables analyzed were consisted of the trunk front-rear angle, lower limb joint(Right Left hip, knee, ankle), overall movement index(OMI) of the lower limbs(thigh, shank, foot) and asymmetry index(AI%) during trot. Results : The average angle in hip and knee joint showed more extended posture according to the increase of stirrups lengths and ankle angle showed more plantarflexion posture according to increase of stirrups length during 1 stride in trot. Also, average angle showed more extended posture in right hip and ankle joint than that of left. The angle of knee joint didn't show significant difference statistically between right and left. Also asymmetric index in average angle of hip, knee and ankle joint didn't show significant difference statistically in between lower limbs, but hip joint showed higher asymmetric index in stirrup length of 77 cm and ankle joint showed higher asymmetric index in stirrup length of 67 cm than that of the others respectively. The FR angle in trunk of horse-rider showed relative backward leaning motions at stirrup length of 67 cm and 77 cm than that of stirrup length of 72 cm during stance and swing phase. OMI in thigh, shank, and foot limbs didn't show significant difference statistically according to the stirrups length of right and left lower limbs, but left lower limbs showed higher index than that of right lower limb. Stirrup length of 72 cm in shank and foot limbs showed higher index than that of stirrup length of 67 cm and 77 cm. But stirrup length of 72 cm showed higher asymmetric index than that of stirrups length of 67 cm and 77 cm. Conclusions : When considering the above, 72 cm(ratio of lower limb 74.04%) stirrup lengths could be useful in posture correction and stabilization than 67cm(ratio of lower limb 68.69%) and 77 cm(ratio of lower limb 79.18%) stirrup lengths during trot in horse back riding.

• 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 Journal of the Korea Contents Association
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• v.16 no.8
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• pp.387-394
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• 2016

The volatility in the stock market responds differently to information types. That is, the asymmetric volatility exists in the stock market which responds more to unexpected negative returns due to bad news than unexpected positive returns due to good news. This paper examines the asymmetric response of the volatility of KOSPI, large-cap, middle-cap, and small-cap indices returns which is announced in Korea exchange (KRX) by using the MA-GJR model and the MA-EGARCH model. According to empirical analyses, it shows that the asymmetric response of volatility exists in all indices regardless of volatility estimation models and the degree of the asymmetric volatility response of the small-cap index returns is greater than that of the large-cap index returns. Moreover, this results also observed robustly during the period of both before and after the global financial crisis.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.857-861
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• 2021

The study aims to find the asymmetric effect in National Stock Exchange in which the Nifty50 is considered as proxy for NSE. A return can be stated as the change in value of a security over a certain time period. Volatility is the rate of change in security value. It is an arithmetical assessment of the dispersion of yields of security prices. Stock prices are extremely unpredictable and make the investment in equities risky. Predicting volatility and modeling are the most profuse areas to explore. The current study describes the association between two variables, namely, stock yields and volatility in equity market in India. The volatility is measured by employing asymmetric GARCH technique, i.e., the EGARCH (1,1) tool, which was used in building the study. The closing prices of Nifty on day-to-day basis were used for analysis from the period 2011 to 2020 with 2,478 observations in the study. The model arrests the lopsided volatility during the mentioned period. The outcome of asymmetric GARCH model revealed the subsistence of leverage effect in the index and confirms the impact of conditional variance as well. Furthermore, the EGARCH technique was evidenced to be apt in seizure of unsymmetrical volatility.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.181-190
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• 2021

This paper empirically examines the asymmetric response of the Indonesian Islamic stock market to macroeconomic variables encompassing money supply, domestic output, exchange rate, and Federal Reserve rate. Our study employs the Jakarta Islamic Index (JII) after the financial crisis in the Southeast Asian country using monthly data from January 2000 to December 2019. Non-linear Autoregressive Distributed lag (NARDL) is applied. Our study considers two models consisting of the model without the Federal Reserve rate and the model with it. Our findings confirm the long-run link between Jakarta Islamic Index and macroeconomic factors being studied. Furthermore, the Jakarta Islamic Index asymmetrically responds to broad money supply and exchange rate, but not to domestic output and Federal Reserve rate. A reduction in the money supply has a worse effect on Islamic stock prices as compared to an increase in the money supply. The Jakarta Islamic Index responds differently to depreciation and appreciation. The transmission of the exchange rate to Islamic stock prices occurs only for appreciation. Our study finds an absence of transmission mechanism from the domestic output and the interest rate to Islamic stock prices. Our results imply that the easy money policy and stabilizing currency are key to supporting Indonesian Islamic stock prices.

• Communications for Statistical Applications and Methods
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• v.19 no.5
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• pp.743-750
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• 2012

In this study, we propose definitions for the one-sided variance for asymmetric distribution. We consider to apply the one-sided variance to the construction to define modified $C_{pk}$, which is a definition for the process capability index for the asymmetric process distribution. Then we consider to obtain the consistent estimation for the one-sided variance and to apply to the various industrial fields.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.7
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• pp.293-300
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• 2016

Traditional databases exploit a record-based model, where the attributes of a record are placed contiguously in a slow hard disk to achieve high performance. On the other hand, for read-intensive data analysis systems, the column-based compressed database has become a proper model because of its superior read performance. Currently, flash memory SSD is largely recognized as the preferred storage media for high-speed analysis systems. This paper introduces a compressed column-storage model and proposes a new index and its data management scheme for a high-capacity data warehouse system. The proposed index management scheme is based on the asymmetric index duplication and achieves superior search performance using the master index and compact index, particularly for large read-mostly databases. In addition, the data management scheme contributes to the read performance and high reliability by compressing the related columns and replicating them in two mirrored SSD. Based on the results of the performance evaluation under the high workload conditions, the data management scheme outperforms the traditional scheme in terms of the search throughput and response time.