• Management Science and Financial Engineering
• /
• v.18 no.2
• /
• pp.1-4
• /
• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• Korean Management Science Review
• /
• v.30 no.1
• /
• pp.73-89
• /
• 2013

This paper develops an investment algorithm based on Markowitz's Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor's risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

• Journal of Korean Institute of Industrial Engineers
• /
• v.29 no.1
• /
• pp.14-20
• /
• 2003

The purpose of this paper is an attempt to analyze the dynamic relationship between KSE and KOSDAQ, two competing markets in Korean stock market, in the viewpoint of competition. Lotka-Volterra model, one of well-known competitive diffusion model, is adopted to represent the competitive situations of Korean stock market and it is estimated using daily empirical index data of KSE and KOSDAQ during 1997~2001. The results show that there existed a predator-prey relationship between two markets in which KSE acted as a predator right after the emergence of KOSDAQ. This interaction was altered to a symbiotic relationship and finally to the pure competition relationship. We also perform an equilibrium analysis of the estimated Lotka-Volterra equations and, as a result, it is found that there is a market index equilibrium point that would be stable in the latest relationship.

• Proceedings of the Safety Management and Science Conference
• /
• 2005.11a
• /
• pp.537-557
• /
• 2005

The estimate on volatility of stock price is related with optimum of portfolio and Important for allocation of capital asset. If the volatility of stock price is varied according to macroeconomic variables on monetary policy and industrial production, it will assist capital asset to allocate. This paper is related with stock market volatilities on macroeconomic variables in U.S. and Europe, Korea. And, it Is pertain to vary in time of this variables. Thus, this paper is related with volatilities of monetary and physical macroeconomic variables on basis of statistics. And, it is ranged front capital investment to portfolio allocation. Also, this paper takes out of sample forecast and study more after this. In case Germany, France, Italy and the Netherlands, the relative importance of monetary policy and Industrial production Is different from these countries. In case Italy and the Netherlands, monetary policy is primary factor at stabilizing for volatility of stock price. In case Korea, increasing monetary policy and industrial production is positively affected stock market. It is that the positive effect of stock price is caused by mollifying monetary policy and economic growth. Specially, this conclusion is similar to US. In Korea, gradual increase in monetary and industrial production is necessary to stability of stock market. It is different to previous results on basis of increasing stock price of money in long period.

• Asian Journal of Business Environment
• /
• v.11 no.4
• /
• pp.17-29
• /
• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.1
• /
• pp.15-22
• /
• 2021

This study aims to obtain a stock investment strategy model based on the industrial sector in Indonesia Stock Exchange (IDX). This study uses IDX data for the period of January 1996 to December 2016. This study uses the Markov Regime Switching Model to identify trends in market conditions that occur in industrial sectors on IDX. Furthermore, by using the Logit Regression Model, we can see the influence of economic factors in determining trends in market conditions sectorally and the probability of trends in market conditions. This probability can be the basis for determining stock investment decisions in certain sectors. The results showed descriptively that the stocks of the consumer goods industry sector had the highest average return and the lowest standard deviation. The trend in sectoral stock market conditions that occur in IDX can be divided into two conditions, namely bullish condition (high returns and low volatility) and bearish condition (low returns and high volatility). Differences in the conditions are mainly due to differences in volatility. The use of a Logit Regression Model to produce probability of market conditions and to estimate the influence of economic factors in determining stock market conditions produces models that have varying predictive abilities.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.46 no.2
• /
• pp.102-108
• /
• 2023

Recently in Korea, YouTube stock channels increased rapidly due to the high social interest in the stock market during the COVID-19 period. Accordingly, the role of new media channels such as YouTube is attracting attention in the process of generating and disseminating market information. Nevertheless, prior studies on the market forecasting power of YouTube stock channels remain insignificant. In this study, the market forecasting power of the information from the YouTube stock channel was examined and compared with traditional news media. To measure information from each YouTube stock channel and news media, positive and negative opinions were extracted. As a result of the analysis, opinion in channels operated by media outlets were found to be leading indicators of KOSPI market returns among YouTube stock channels. The prediction accuracy by using logistic regression model show 74%. On the other hand, Sampro TV, a popular YouTube stock channel, and the traditional news media simply reported the market situation of the day or instead showed a tendency to lag behind the market. This study is differentiated from previous studies in that it verified the market predictive power of the information provided by the YouTube stock channel, which has recently shown a growing trend in Korea. In the future, the results of advanced analysis can be confirmed by expanding the research results for individual stocks.

• The Journal of Industrial Distribution & Business
• /
• v.10 no.1
• /
• pp.29-37
• /
• 2019

Purpose - We study the dynamic linkages of the economic policy uncertainty (EPU) in the US on the manufacturing stock market returns in Korea. In detail, we examine the casual link between EPU index in the US and the manufacturing stock indexes in Korea. Research design, data, and methodology - We measure mainly the distribution effect of the US EPU on the manufacturing stock market in Korea of 1990-2017 by the vector error correction model (VECM). Result - In result, we estimate the impact of the US EPU index has significantly a negative response to the manufacturing stock market in Korea such as non-metal stock index, chemical stock index, food stock index, textile·clothes stock index, automobile·shipbuilding stock index, machinery stock index, steel·metal stock index. Also the remaining variables such as electric·electronics stock index, S&P 500, and producer price index in Korea have a negative relationship with US EPU index. Conclusions - We find out that the relationship between EPU index of the US and the manufacturing stock market in Korea has the negative relationships. We determine the EPU of the US has the spillover effect on the industry stock markets in Korea.

• Management & Information Systems Review
• /
• v.38 no.3
• /
• pp.1-19
• /
• 2019

This paper investigates the asymmetric effects of crude oil price uncertainty on industrial stock returns under different market conditions (bearish and bullish stock markets). We consider a quantile regression method using monthly oil volatility index, KOSPI and 22 industrial stock indices from May 2007 to February 2019. Especially, we take care of the positive and negative changes of the oil volatility index to analyze asymmetric effects of the oil price uncertainty for the bearish and bullish stock market conditions. During the bearish markets, the oil volatility index has relatively strong statistically significant negative effects on the industrial stock returns. These effects gradually decrease when the market conditions became more bullish markets. In particular, positive changes in the oil volatility index yields a further significant decrease in 12 industrial stock returns during the extreme bearish markets. Moreover, during the bullish markets, negative changes in the oil volatility index have statistically significant negative effects on the 12 industrial stock returns. From the empirical results, we see that participants of the Korean stock market are sensitive to bad news in a recession.

• Journal of the Korea Academia-Industrial cooperation Society
• /
• v.16 no.9
• /
• pp.5982-5988
• /
• 2015

This study is about what effect the proverb of the stock has on the investment behavior by the stock investors. It confirmed if the investors knew the stock proverb that had been used in the stock market for a long time, examined the stock investors applied this content to the real investment process, analyzed if the application influenced the investment result. For this, this study selected total 29 stock proverbs about the investment principle, diversified investment, item selection, time of buying and selling, and value tendency which were being used in the stock market and frequently quoted in the stock-related literature to conduct a questionnaire targeting 191 stock investors and analyze the result. As a result of the analysis, it was confirmed the investors of 14% applied the stock proverb to invest and created the profit through it. It is expected the stock investors and the stock market used the analyzed stock proverb statistics through these helpful study and results to apply to the stock investment.