• Title/Summary/Keyword: Covariance Structure

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The Relationship between Internet Search Volumes and Stock Price Changes: An Empirical Study on KOSDAQ Market (개별 기업에 대한 인터넷 검색량과 주가변동성의 관계: 국내 코스닥시장에서의 산업별 실증분석)

  • Jeon, Saemi;Chung, Yeojin;Lee, Dongyoup
    • Journal of Intelligence and Information Systems
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    • v.22 no.2
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    • pp.81-96
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    • 2016
  • As the internet has become widespread and easy to access everywhere, it is common for people to search information via online search engines such as Google and Naver in everyday life. Recent studies have used online search volume of specific keyword as a measure of the internet users' attention in order to predict disease outbreaks such as flu and cancer, an unemployment rate, and an index of a nation's economic condition, and etc. For stock traders, web search is also one of major information resources to obtain data about individual stock items. Therefore, search volume of a stock item can reflect the amount of investors' attention on it. The investor attention has been regarded as a crucial factor influencing on stock price but it has been measured by indirect proxies such as market capitalization, trading volume, advertising expense, and etc. It has been theoretically and empirically proved that an increase of investors' attention on a stock item brings temporary increase of the stock price and the price recovers in the long run. Recent development of internet environment enables to measure the investor attention directly by the internet search volume of individual stock item, which has been used to show the attention-induced price pressure. Previous studies focus mainly on Dow Jones and NASDAQ market in the United States. In this paper, we investigate the relationship between the individual investors' attention measured by the internet search volumes and stock price changes of individual stock items in the KOSDAQ market in Korea, where the proportion of the trades by individual investors are about 90% of the total. In addition, we examine the difference between industries in the influence of investors' attention on stock return. The internet search volume of stocks were gathered from "Naver Trend" service weekly between January 2007 and June 2015. The regression model with the error term with AR(1) covariance structure is used to analyze the data since the weekly prices in a stock item are systematically correlated. The market capitalization, trading volume, the increment of trading volume, and the month in which each trade occurs are included in the model as control variables. The fitted model shows that an abnormal increase of search volume of a stock item has a positive influence on the stock return and the amount of the influence varies among the industry. The stock items in IT software, construction, and distribution industries have shown to be more influenced by the abnormally large internet search volume than the average across the industries. On the other hand, the stock items in IT hardware, manufacturing, entertainment, finance, and communication industries are less influenced by the abnormal search volume than the average. In order to verify price pressure caused by investors' attention in KOSDAQ, the stock return of the current week is modelled using the abnormal search volume observed one to four weeks ahead. On average, the abnormally large increment of the search volume increased the stock return of the current week and one week later, and it decreased the stock return in two and three weeks later. There is no significant relationship with the stock return after 4 weeks. This relationship differs among the industries. An abnormal search volume brings particularly severe price reversal on the stocks in the IT software industry, which are often to be targets of irrational investments by individual investors. An abnormal search volume caused less severe price reversal on the stocks in the manufacturing and IT hardware industries than on average across the industries. The price reversal was not observed in the communication, finance, entertainment, and transportation industries, which are known to be influenced largely by macro-economic factors such as oil price and currency exchange rate. The result of this study can be utilized to construct an intelligent trading system based on the big data gathered from web search engines, social network services, and internet communities. Particularly, the difference of price reversal effect between industries may provide useful information to make a portfolio and build an investment strategy.

Stand Structure and Sapling Growth Characteristics of Korean Red Pine Stands Regenerated by the Seed Tree Method (소나무 모수림 시업지의 임분구조 및 치수생육특성)

  • Lee, Daesung;Choi, Jungkee
    • Journal of Korean Society of Forest Science
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    • v.110 no.4
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    • pp.678-688
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    • 2021
  • This study was conducted to provide growth characteristics and stand information in preparation for natural regeneration method and silvicultural treatment of seed tree method in Korean red pine stands by using the field inventoried data 18 years after the seed tree regeneration method in 2001 and analyzing the stand and sapling characteristics. The study area was located in the Research Forest of Kangwon National University, Chuncheon-si, Gangwon-do. In November 2018, we collected tree measurement factors, such as diameter at breast height (DBH), height, crown class, stem quality, tree age, and annual height increment on the established plots. We calculated the basal area, volume, height-diameter ratio (HD ratio), and additional stand density variables such as the relative density and %stocking to analyze the managed stands. The number of mother trees was 58 trees/ha, with a 17.7% stocking level, whereas the number of saplings was 2,330 trees/ha, with a 79.0% stocking level. In germination, the age distribution of saplings ranged from 2001 to 2007, with most belonging to 15-16 years. The development condition of saplings was 10 cm in DBH and 8 m in height. DBH and height were higher as the crown class is more dominant, and this difference was statistically significant in the analysis of variance and Duncan's multiple comparison test (p<0.0001). HD ratio ranged mostly between 80% and 90%, and more than 95% of sapling stems were of high quality, with a straight, unbroken top, non-sweep, and non-diseased stem. On average, the annual height increment of saplings was 21.9 cm at 1 year, 43.3 cm at 5 years, 54.3 cm at 10 years, and 64.3 cm at 15 years. The overall height growth with age increased smoothly. According to the analysis of covariance, the annual height growth by crown class differed significantly. The regression analysis parameters revealed that annual height growth increased with age and dominant crown class.

The Knowledge Transfer Network and Performance of Chinese Subsidiary in Korean MNCs : Focusing on Roles of Absorptive Capacity and Entry Mode (한국 다국적기업의 중국 자회사의 지식이전, 네트워크와 경영성과에 관한 연구 - 흡수능력과 진입방식의 역할을 중심으로 -)

  • Yoon, Ki-Chang
    • Korea Trade Review
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    • v.41 no.5
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    • pp.325-351
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    • 2016
  • This study empirically investigated the relationship among knowledge transfer, network(firm network and government network) and performance Korean MNCs' subsidiaries in terms of absorptive capacity and entry mode roles in China. For this, absorptive capacity was established as an independent variable, mediating variable, and moderating variable. And the entry mode was divided into single investment and joint venture and set to the moderating variable. Data for the analysis of actual proof was randomly selected from the companies which was established more than 3 years before KOTRA 'The overseas expansion Korean company directory (2014)'. Questionnaires to 138 Chinese subsidiaries of Korean MNCs were collected by FAX and E-mail. AMOS was utilized and collected data investigated the role of the absorption capacity and entry mode as the covariance structure analysis. The empirical analysis showed that absorption capacity has a direct influence on management performance as an independent variable with the network (firm network and government network). It only has a partial mediating role between enterprise networks and management performance, and no meaningful result was gained as its moderationg role bewteen the exogenous variable and management performance. And in terms of Korean companies' moderating role in entering China, they have a moderating role between government network, absorption capacity and management performance, but did not show a statistically significant result between knowledge transfer, enterprise network and management performance. Absorption capacity, as the variable affecting overseas subsidiary's management performance, should not be considered a mediating or moderating variable, but an independent variable. Since the joint venture is showing higher performance than single investment when going into the Chinese market, implication is provided for options in overseas expansion. But this research has the limitation in generalization because it is aiming at the subsidiaries of the Korean company investing in China. Therefore, it is more desirable in the future to conduct a study of the subsidiary of the Korean company entering several countries. It also has limitations in generalization, because the research was conducted using a limited number of variables, despite there are various factors affecting the management performance of Chinese subsidiaries.

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A Study on Changes in Consumption Behavior due to the Risk of the COVID-19 Pandemic (COVID-19 팬데믹 위험으로 인한 소비행동의 변화 연구)

  • Oh, Jong-chul;Lee, Yu-sun;Kim, Jae-hong
    • Journal of Venture Innovation
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    • v.5 no.2
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    • pp.49-66
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    • 2022
  • This study intends to examine how the perception of covid-19 risk affects consumers' consumption behavior based on previous studies in a situation where the spread of covid-19 is prolonged. This study demonstrates how consumers' perception of covid-19 risk affects online and offline consumption behavior through the perceived severity, perceived vulnerability, coping effectiveness, and self-efficacy of the revised protective motivation theory (Rogers, 1983). We want to test it through analysis. In order to achieve the purpose of this study, consumers living in Seoul and Gyeonggi Province who have purchased within the past 3 months were selected as a sample. In addition, variable data such as risk perception of covid-19, perceived severity, perceived vulnerability, coping effectiveness, self-efficacy, online purchase attitude and purchase intention, offline purchase attitude and purchase intention were collected through the questionnaire.A total of 363 copies of valid responses were tested to test the hypothesis of the relationship between variables through the covariance structure model. The analysis results of this study were first, that covid-19 risk perception had a significant positive (+) effect on perceived severity, perceived vulnerability, and coping effectiveness. Second, perceived severity and perceived vulnerability were found to have a significant positive (+) effect on offline purchasing attitude. Third, perceived severity, perceived vulnerability, coping plan effectiveness, and self-efficacy were all found to have significant positive (+) effects on online purchase attitude. Finally, it was found that offline purchase attitude and online purchase attitude had a significant positive (+) effect on offline purchase intention and online purchase intention, respectively. Also, it was found that online purchase attitude had a negative (-) effect on offline purchase intention. The results of this analysis will provide meaningful implications for the establishment of strategies for distribution channels according to the social risk of infectious diseases.