• 재무관리연구
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• 제25권1호
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• pp.23-49
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• 2008

본 논문의 목적은 과거의 산업 포트폴리오 수익률이 확률추세로부터 어떻게 전체 주식시장과 두 가지 거시경제 변수인 경기동행지수와 산업생산 등을 예측할 수 있는 지를 알아보는 데에 있다. 이를 위하여 본 연구에서는 연구모형을 설정한 후 세 가지 검정절차를 제시하고 이를 실증적으로 분석하였다. 당월의 전체 주식시장 수익률은 과거의 시차를 지닌 특정 산업부문 포트폴리오 수익률에 대하여 양(+)의 상관관계를 유지하고 있다는 '예측 1'과 전체 주식시장의 수익률은 특정산업부문의 수익률에 대하여 선행성을 지닐 수 없다는 '예측 2'에 대한 검정 결과는 '예측 1'과 '예측 2'가 지지되고 있음을 파악할 수 있었다. 그리고 산업별 포트폴리오 수익률과 거시경제변수 간의 높은 상관관계를 토대로 하여 전체 주식시장 수익률 예측을 가능하게 하는 업종 정보의 점진적 확산 현상이 발생하게 되는가를 검토하기 위하여 각 산업들의 포트폴리오 수익률과 전체 주식시장 수익률이 VAR 모형을 토대로 볼 경우 Granger 인과관계를 갖고 있는 지를 분석하였다. 분석결과 21개 업종은 각 산업별 포트폴리오 수익률이 전체 주식시장 수익률을 5% 수준에서 통계적으로 유의한 영향을 주고 있음을 알 수 있었다. 이들 21개의 산업별 포트폴리오 수익률은 경제적으로도 중요한 의미를 지니고 있어 산업제품의 가격 상승과 하락이 경제에 미치는 영향을 파악할 수 있다. 특히 음료 업종에서 전체 주식시장 수익률과 상호간의 인과성을 나타내었으며, 인터넷과 화장품 업종에서는 전체 주식시장 수익률이 이들 업종에 대하여 일방적인 영향을 보이고 있음을 알 수 있었다.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.11-19
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• 2021

This study aims to analyze the causality relationship between sectoral stock markets (agricultural, financial, industrial, and mining sectors) and economic growth in the short and long term as well as to analyze whether it has similar types or not. The data used is quarterly time-series data (first quarter 2009 to fourth 2019). To determine the causality relationship, this study conducts a variable and multivariate causality test. The results of the varying granger causality test show that there is only a one-way relationship, where the economic growth of the agriculture sector affects its shares. A one-way relationship also occurs in stocks of the industrial sector, which has an influence on economic growth. The multivariate causality test shows that the economic growth of the agricultural sector has a two-way causality relationship, and it also exists between the industrial sector and the financial sector stock markets. The two-way causality relationship between the stock market and sectoral economic growth is a convergence towards long-term equilibrium. The findings of this study suggest that the government through the Financial Services Authority and the Indonesia Stock Exchange have to maintain stability in the stock market as a supporter of the national economy.

• 산업경영시스템학회지
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• 제44권4호
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• pp.98-105
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• 2021

Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use component-by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.

• 산업경영시스템학회지
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• 제41권3호
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• pp.154-161
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• 2018

This study conducted to predict the stock market prices based on the assumption that internet news articles might have an impact and effect on the rise and fall of stock market prices. The internet news articles were tested to evaluate the accuracy by comparing predicted values of the actual stock index and the forecasting models of the companies. This paper collected stock news from the internet, and analyzed and identified the relationship with the stock price index. Since the internet news contents consist mainly of unstructured texts, this study used text mining technique and multiple regression analysis technique to analyze news articles. A company H as a representative automobile manufacturing company was selected, and prediction models for the stock price index of company H was presented. Thus two prediction models for forecasting the upturn and decline of H stock index is derived and presented. Among the two prediction models, the error value of the prediction model (1) is low, and so the prediction performance of the model (1) is relatively better than that of the prediction model (2). As the further research, if the contents of this study are supplemented by real artificial intelligent investment decision system and applied to real investment, more practical research results will be able to be developed.

• 산업공학
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• 제16권spc호
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• pp.123-126
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• 2003

In this paper, we use three cluster algorithms (K-means, Self-Organizing Map, and Fuzzy K-means) to find proper graded stock market brokerage commission rates based on the cumulative transactions on both stock exchange market and HTS (Home Trading System). Stock trading investors for both modes are classified in terms of the total transaction as well as the corresponding mode of investment, respectively. Empirical analysis results indicated that fuzzy K-means cluster analysis is the best fit for the segmentation of customers of both transaction modes in terms of robustness. We then propose the rules for three grouping of customers based on decision tree and apply different brokerage commission to be 0.4%, 0.45%, and 0.5% for exchange market while 0.06%, 0.1%, 0.18% for HTS.

• Management Science and Financial Engineering
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• 제19권1호
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• pp.37-41
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• 2013

This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely liquid KOSPI 200 futures market.

• KDI Journal of Economic Policy
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• 제14권4호
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• pp.63-77
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• 1992

우리나라 주가변화(株價變化)의 절반 이상이 거시경제변수(巨視經濟變數)의 움직임에 의하여 설명되며, 특히 국제수지(國際收支) 및 산업생산(産業生産)의 움직임이 주가변화에 큰 영향을 미치는 것으로 나타나고 있다. 다른 한편으로는 주식시장(株式市場)이 상대적으로 안정적이었던 1985년까지의 기간중에는 주가변화(株價變化)가 설비투자의 움직임을 잘 설명하고 있음이 발견되었다. 반면에 주식시장이 규모면에서 크게 확대되고 주가(株價)의 변동폭이 컸던 1986년 이후의 기간중에는 설비투자(設備投資)와 주가변화(株價變化)간의 연계성이 거의 없는 것으로 나타나고 있다. 이러한 주가(株價)와 실물경제(實物經濟) 사이의 관계가 주는 정책적(政策的) 시사점(示唆點)은 단기적이고 직접적인 시장개입(市場介入)을 통한 주식시장 부양정책은 한계가 있으며 보다 근본적으로는 실물경제의 안정과 착실한 성장기조의 회복만이 증시안정(證市安定)에 기여할 수 있다는 것이다. 아울러 주식시장(株式市場)이 기업의 투자재원 조달창구로서의 역할을 효율적으로 수행하기 위해서는 주식시장의 안정(安定)이 선행되어야 한다는 것이다.

• 산업경영시스템학회지
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• 제45권3호
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• pp.123-130
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• 2022

Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. This study tests a clustering-driven pair trading investment strategy in the Korean stock market. If a pair detected through clustering has a large spread during the spread exploring period, the pair is included in the portfolio for backtesting. The profitability of the clustering-driven pair trading strategies is investigated based on various profitability measures such as the distribution of returns, cumulative returns, profitability by period, and sensitivity analysis on different parameters. The backtesting results show that the pair trading investment strategy is valid in the Korean stock market. More interestingly, the clustering-driven portfolio investments show higher performance compared to benchmarks. Note that the hierarchical clustering shows the best portfolio performance.

• 산경연구논집
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• 제11권12호
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• pp.39-45
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• 2020

Purpose: The stock price delay phenomenon refers to a phenomenon in which stock prices do not immediately reflect corporate information and the reflection is delayed. A prior study reported that the stock price delay phenomenon appears strongly when the quality of corporate information is low (Callen, Khan, & Lu, 2013). The purpose of the internal accounting control system is to improve the reliability of accounting information. Specifically, the more professionals such as certified public accountants are placed in the internal accounting control system, the more information is prevented from being distorted, so the occurrence of stock price delay will decrease. Research design, data and methodology: In this study, companies listed on the securities market from 2012 to 2016 were selected as a sample to analyze whether the stock price delay phenomenon is alleviated as accounting experts are assigned to the internal accounting control system. The internal control personnel data were collected in the "Internal Accounting Control System Operation Report" attached to the business report of each company of the Financial Supervisory Service's Electronic Disclosure System(DART). The measurement method of the stock price delay phenomenon was referred to the study of Hou and Moskowitz (2005). The final sample used in the study is 2,641 firm-years. Results: It was found that companies with certified accountants in the internal accounting control system alleviate the stock price delay phenomenon. This result can be interpreted as increasing the speed at which corporate information is reflected in the stock price by improving the reliability of information disclosed in the market by the placement of experts in the system. Conclusions: The results of this study suggest that accounting professionals assigned to the internal accounting control system are playing a positive role in providing high-quality information to the market. In this study, focusing on the fact that the speed at which corporate information is reflected in the stock price is very important for the stakeholders in the capital market, we find that having a certified public accountant in the internal accounting control system alleviates the stock price delay phenomenon.

• The Journal of Asian Finance, Economics and Business
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• 제1권2호
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• pp.31-37
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• 2014

The portfolio selection is one of the most important and vital decisions that a real or legal person, who invests in stock market, should make. The main purpose of this article is the determination of the optimal portfolio with regard to relations among stock returns of companies which are active in Tehran's stock market. For achieving this goal, weekly statistics of company's stocks since Farvardin 1389 until Esfand 1390, has been used. For analyzing statistics and information and examination of stocks of companies which has change in returns, factors analysis approach and clustering analysis has been used (FC approach). With using multivariate analysis and with the aim of reducing the unsystematic risk, a financial portfoliois formed. At last but not least, results of choosing the optimal portfolio rather than randomly choosing a portfolio are given.