• Journal of Korean Society for Quality Management
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• v.38 no.1
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• pp.20-33
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• 2010

This study investigates the relationships of total quality management (TQM), organizational learning (OL) activities and business performance and examines the partial mediation effect of OL activities on business performance in Korean industrial manufacturing setting. Main target sample firms were all manufacturing companies listed in the Korea Composite Stock Price Index (KOSPI) and 206 firms participated. This study theoretically develops a conceptual model with 3 hypotheses regarding how TQM practices influence OL activities and how the OL activities partially mediate between the TQM practices and business performance. To examine these hypotheses, Structural Equation Modeling (SEM) was employed and an alternative model which includes a path between errors of leadership factor and OL construct was developed. The findings are TQM practices cannot directly influence business performance but indirectly impact business performance through OL activities. This study found that OL activities playa role as firms' critical competency to improve business performance.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2003.11a
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• pp.177-182
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• 2003

많은 경제 시계열 자료 중에서 주가는 국내외 경제상황은 물론 정부정책 등 시장 외적인 영향에 가장 민감하게 반응한다. 하지만, 지금까지의 주가예측에 있어서는 이러한 외부의 영향, 즉 개입(Intervention)이 발생했을 때 주가의 변동에 능동적으로 대처하는 모형이 부재하였다. 실제로 이러한 개입사실을 예측모형에 반영하지 않는다면, 주가예측 있어 그 예측력을 따진다는 것은 무의미하다고 판단된다. 따라서, 개입시점을 발견하고, 이 개입효과를 측정하여 이를 모형에 반영한다면 좋은 예측결과를 얻을 수 있을 것이다. 이 연구에서는 이상점 탐지절차를 이용하여 개입 시점을 발견하고 개입의 효과가 개입시점에만 영향을 주는 모형과 효과가 일정기간 지속되는 모형으로 두 개의 개입시계열모형을 구축하고, 이러한 두 모형의 예측성과와 인공신경망모형을 이용한 예측성과를 비교하였다. 초단기예측(개입 직후 예측)에 있어서 개입의 효과가 지속되는 경우에는 개입시계열이 인공신경망보다 좋을 결과 를 나타내긴 했지만 그 차이는 크지 않았으며, 개입의 효과가 시점에만 영향을 준 경우에는 인공신경망의 결과가 더 우수한 것으로 나타났다. 단기예측(개입 후 20 일후의 예측)에 있어서는 개입 효과의 지속여부에 상관없이 인공신경망이 개입시계열모형보다 우수한 것으로 나타났다.

• IE interfaces
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• v.20 no.2
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• pp.94-102
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• 2007

Portfolio management deals with decision making on 'when' and 'how' to revise an existing portfolio. In this paper, we show that a classical statistical process control (SPC) chart for normal data, a wellestablished tool in quality engineering, can effectively be used for signaling times for revising a portfolio. Noting that the day-to-day performance of a portfolio may be auto-correlated, we use the exponentially weighted moving average center-line chart to develop an automatic portfolio management procedure. The portfolio management procedure is extensively tested on historical data of equities traded in the Korea Exchange (KRX), the American Stock Exchange (AMEX), and the New York Stock Exchange (NYSE). In comparison with the performances of the KOSPI, XAX, and NYA indices during the same time periods, results from these experiments show that SPC chart-based portfolio revision presents itself a convenient and reliable method for optimally managing portfolios.

• Journal of Distribution Science
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• v.20 no.3
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• pp.53-58
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• 2022

Purpose: Controlling and minority shareholders sometimes have conflicting interests. Controlling shareholders who do not have adequate monitoring can exhibit a strong tendency to maximize their personal wealth. In this case, cash holdings can be the easiest means for them to pursue their personal interests. This study examined whether the largest shareholder's ownership proportion affected the speed at which firms adjust their cash holdings to target levels in Korean distribution and service companies. Research design, data, and methodology: The study uses regression analysis to examine 834 firm-year samples listed on the KOSPI between 2013 and 2018 in the distribution and service sectors. Results: The largest shareholder's ownership is positively related to a firm's cash holdings adjustment speed. That is, the larger the largest shareholder's ownership, the faster the firm adjusts its cash holdings to achieve the target level. Conclusions: This study contributes to the literature by providing evidence that the cash holdings adjustment speed in Korean service and distribution companies is affected by the largest shareholder's ownership. As the agency problem between controlling and minority shareholders in Korea is a major issue, minority owners' sensitivity to agency costs may help restrict controlling owners' ability to maximize their personal wealth.

• The Journal of the Korea Contents Association
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• v.20 no.11
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• pp.281-291
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• 2020

This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.

• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.1-43
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• 2007

The traditional Black-Scholes model for option pricing is based on the assumption that the log-return of the underlying asset follows a Brownian motion. But this assumption has been criticized for being unrealistic. Thus, for the last 20 years, many attempts have been made to adopt different stochastic processes to derive new option pricing models. The option pricing models based on L$\acute{e}$vy processes are being actively studied originating from the Gerber-Shiu model driven by H. U. Gerber and E. S. W. Shiu in 1994. In 2004, G. H. L. Cheang derived an option pricing model under multiple L$\acute{e}$vy processes, enabling us to adopt drift and jumps to the Gerber-Shiu model, while Gerber and Shiu derived their model under one L$\acute{e}$vy process. We derive the Gerber-Shiu model which includes drift and jumps under L$\acute{e}$vy processes. By adopting a Gamma distribution, we expand the Heston model which was driven in 1993 to include jumps. Then, using KOSPI200 index option data, we analyze the price-fitting performance of our model compared to that of the Black-Scholes model. It shows that our model shows a better price-fitting performance.

• Journal of the Korean Data and Information Science Society
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• v.20 no.6
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• pp.991-998
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• 2009

This paper deals with directivity forecasting of time series which is useful for futures trading in stock market. Directivity forecasting of time series is to forecast whether a given time series will rise or fall at next observation time point. For directional forecasting, we consider time regression model and ARIMA model. In particular, we study two statistics, intra-model and extra-model deviation and then show usefulness of intra-model deviation.

• The Korean Journal of Applied Statistics
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• v.23 no.4
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• pp.651-668
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• 2010

Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.

• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.151-180
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• 2003

We examine the interdependence of the major Asia-Pacific stock markets including S&P 500, FTSE 100, Kualar Lumpur Composite, Straits Times, Hang Seng, NIKKEI 225 and KOSPI 200 from October 4, 1995 to March 31,2000. The analysis employs the vector-auto-regression, Granger causality, impulse response function and variance decomposition using daily returns on the national stock market indices. The findings in this paper indicate that the volatilities of all countries has grown after IMF crisis, while there is no significance in cointegration test of both total period and sub-periods. This result implies that investors are able to get abnormal returns by investment diversification according to the portfolio theory. We find that while the effect from NIKKEI 225 to others is relatively weak, the interdependence from S&P 500 to other countries is strong. Also we find that the strong effect from Straits Times to Hang Seng exists. This study suggests that there is slight feedback relation between KOSPI 200 and Kualar Lumpur Composite, Straits Times, Hang Seng stock market.

• The Korean Journal of Applied Statistics
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• v.20 no.1
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• pp.53-60
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• 2007

Conditionally heteroscedastic time series models such as GARCH processes have frequently provided useful approximations to the real aspects of financial time series. It is not uncommon that financial time series exhibits near non-stationary, say, integrated phenomenon. For stationary GARCH processes, a shock to the current conditional variance will be exponentially converging to zero and thus asymptotically negligible for the future conditional variance. However, for the case of integrated process, the effect will remain for a long time, i.e., we have a persistent effect of a current shock on the future observations. We are here concerned with providing empirical evidences of persistent GARCH(1,1) for various fifteen domestic financial time series including KOSPI, KOSDAQ and won-dollar exchange rate. To this end, kurtosis and Integrated-GARCH(1,1) fits are reported for each data.