• Title/Summary/Keyword: Market uncertainty

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The Connectedness between Categorical Policy Uncertainty Indexes and Volatility Index in Korea, Japan and the US (한국, 일본, 미국의 정책별 불확실성 지수와 변동성지수 간의 연계성)

  • Hangyong Lee; Sea-Gan Oh
    • Asia-Pacific Journal of Business
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    • v.14 no.4
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    • pp.319-330
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    • 2023
  • Purpose - The purpose of this paper is to examine the connectedness between categorical economic policy uncertainty (monetary, fiscal, trade and foreign exchange policy uncertainty) indexes and option-implied volatility index in Korea, Japan and the US. Design/methodology/approach - This paper employs the Diebold-Ylmaz (2012) model based on a VAR and generalized forecast error variance decomposition. This paper also conducts regression analyses to investigate whether the volatility indexes are explained by categorical policy uncertainty indexes. Findings - First, we find the total connectedness is stronger in Korea and Japan relative to the US. Second, monetary, fiscal, and foreign exchange policy uncertainty indexes are connected to each other but trade policy uncertainty index is not. Third, the volatility index in Japan and the US is mainly associated with monetary policy uncertainty while the volatility index in Korea is explained by fiscal policy uncertainty index. Research implications or Originality - To our knowledge, this is the first study to investigate the connectedness among categorical policy uncertainty indexes and the volatility index in Korea, Japan, and the US. The empirical results on the connectedness suggest that transparent policy and communication with the market in one type of policy would reduce the uncertainty in other policies.

불확실성 하에서의 신시장 개척을 위한 최적 마케팅 자원 배분

  • 이동주;안재현
    • Proceedings of the Korean Operations and Management Science Society Conference
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    • 2001.10a
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    • pp.157-160
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    • 2001
  • Firms pursue new business opportunities for growth. Market development strategy is one of the growth strategies, which develops new market segments with current products. However, new market generally has high uncertainty, or high risk. Firms should consider the risk in making and implementing the market development strategy. In this paper, an optimal marketing resource allocation model is developed, taking into account the risk attitude of a firm in market development. Under the assumption of exponential utility function, the global optimal solution is derived, and the implications are provided.

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A study on the cognition of Environmental Uncertainty between Pioneer brand and Follower brand (선발브랜드와 후발브랜드간의 환경 불확실성 지각에 관한 연구)

  • kim, Se-Hwan;kim, Dae-Sik
    • Journal of Industrial Convergence
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    • v.4 no.2
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    • pp.39-55
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    • 2006
  • Pioneer brand and follower brand show differences in their perception of the environmental uncertainty. Market pioneer brand companies think that the environment is relatively simple and doesn't change much, whereas follower bland companies think that the environment is complicated and changes a lot. For market pioneer brand companies, among dynamism on the environment lever, there was less potential for the environment and parts, and government restrictions compared to follower brand companies. Also the complexity of the environment level complicated compared to the follower brand companies in areas such as competition for consumers with rival companies, materials, resources of equipment and parts, government restrictions, and the amount of change of the market's preference of the product.

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Aircraft derivative design optimization considering global sensitivity and uncertainty of analysis models

  • Park, Hyeong-Uk;Chung, Joon;Lee, Jae-Woo
    • International Journal of Aeronautical and Space Sciences
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    • v.17 no.2
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    • pp.268-283
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    • 2016
  • Aircraft manufacturing companies have to consider multiple derivatives to satisfy various market requirements. They modify or extend an existing aircraft to meet new market demands while keeping the development time and cost to a minimum. Many researchers have studied the derivative design process, but these research efforts consider baseline and derivative designs together, while using the whole set of design variables. Therefore, an efficient process that can reduce cost and time for aircraft derivative design is needed. In this research, a more efficient design process is proposed which obtains global changes from local changes in aircraft design in order to develop aircraft derivatives efficiently. Sensitivity analysis was introduced to remove unnecessary design variables that have a low impact on the objective function. This prevented wasting computational effort and time on low priority variables for design requirements and objectives. Additionally, uncertainty from the fidelity of analysis tools was considered in design optimization to increase the probability of optimization results. The Reliability Based Design Optimization (RBDO) and Possibility Based Design Optimization (PBDO) methods were proposed to handle the uncertainty in aircraft conceptual design optimization. In this paper, Collaborative Optimization (CO) based framework with RBDO and PBDO was implemented to consider uncertainty. The proposed method was applied for civil jet aircraft derivative design that increases cruise range and the number of passengers. The proposed process provided deterministic design optimization, RBDO, and PBDO results for given requirements.

The Effects of Economic Uncertainty on Multi-National Companies (MNCs) Investment in Malaysia

  • MARIADAS, Paul Anthony;MURTHY, Uma;SUBRAMANIAM, Muthaloo;SELVANATHAN, Mahiswaran;LUN, Ng Han
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.5
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    • pp.1-9
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    • 2021
  • The purpose of this study is to examine the effects of economic uncertainty on MNC investment in Malaysia from 2009 to 2019 by employing an ARDL method. The results revealed that Economic Policy Uncertainty (EPU) has a positive association with the capital expenditures of Nestle, British American Tobacco, and Public Bank in the long run. In a similar period, the Gross Domestic Product (GDP) is positively significant with the capital expenditures of British America Tobacco and Heineken. However, inflation is negatively related to the capital expenditures of British America Tobacco and Heineken. Additionally, the exchange rate has a significant and negative relationship with the capital expenditures of Nestle and Petronas, while the ECT value is negative and significant in the short run, hence confirming that co-integration exists. In view of this, it is imperative that the government plays a prerogative role to support MNC operations, as MNCs foster the developing countries' economic development through facilitating full employment. This study sets to enhance the personal knowledge of those with a strong interest in the Malaysian financial market. As long as MNCs believe that the Malaysian market has the potential to grow, they will continue to invest for the benefit of the country.

Evaluation of Ramping Capability for Day-ahead Unit Commitment considering Wind Power Variability (풍력발전의 변동성을 고려한 기동정지계획에서의 적정 Ramping 용량 산정)

  • Lyu, Jae-Kun;Heo, Jae-Haeng;Park, Jong-Keun
    • The Transactions of The Korean Institute of Electrical Engineers
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    • v.62 no.4
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    • pp.457-466
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    • 2013
  • Wind energy is rapidly becoming significant generating technologies in electricity markets. As probabilistic nature of wind energy creates many uncertainties in the short-term scheduling, additional actions for reliable market operation should be taken. This paper presents a novel approach to evaluate ramping capability requirement for changes in imbalance energy between day-ahead market and real-time market due to uncertainty of wind generation as well as system load. Dynamic ramp rate model has been applied for realistic solution in unit commitment problem, which is implemented in day-ahead market. Probabilistic optimal power flow has been used to verify ramping capability determined by the proposed method is reasonable in economic and reliable aspects. This approach was tested on six-bus system and IEEE 118-bus system with a wind farm. The results show that the proposed approach provides ramping capability information to meet both forecasted variability and desired confidence level of anticipated uncertainty.

A Study on the Successful Operation of B2B e-Marketplaces in the Korea Industry (한국산업의 B2B e-Marketplace 성공적 운영 관한 연구)

  • Lee, Jae-Kyu;Shin, Seung-Man
    • International Commerce and Information Review
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    • v.9 no.3
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    • pp.59-79
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    • 2007
  • This paper is to identify whether the mechanism of the real market as an off-line market developed from the transaction cost theory from previous research is applied to on-line market, such as usiness to Business e-marketplaces. With three factors(parties, product, environments) selected from previous research, four cases picked up from all B2B e-marketplace sites as of April 2007, in the view of Business to Business Matrix which presented by Kaplan & Sawhney(2000), were studied. They were accompanied by interview with CEO and team manager, and they explained their business and revenue model of the company. From the interview, the relation between three factors and usiness to Business e-marketplace was observed by taking sub-factors into consideration; parties -asset specificity, information asymmetry, product factors - standardization, price stability, and environments factors - competition, market uncertainty. The implications of this study are to analyze the relation of the transaction theory in offline and online. Also, this is the first study that analyzed it. In the future, another research based on this research will be studied.

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Analysis of connectedness Between Energy Price, Tanker Freight Index, and Uncertainty (에너지 가격, 탱커운임지수, 불확실성 사이의 연계성 분석)

  • Kim, BuKwon;Yoon, Seong-Min
    • Journal of Korea Port Economic Association
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    • v.38 no.4
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    • pp.87-106
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    • 2022
  • Uncertainties in the energy market are increasing due to technology developments (shale revolution), trade wars, COVID-19, and the Russia-Ukraine war. Especially, since 2020, the risk of international trade in the energy market has increased significantly due to changes in the supply chain of transportation and due to prolonged demand reduction because of COVID-19 and the Russian-Ukraine war. Considering these points, this study analyzed connectedness between energy price, tanker index, and uncertainty to understand the connectedness between international trade in the energy market. Main results are summarized as follows. First, as a result of analyzing stable period and unstable period of the energy price model using the MS-VAR model, it was confirmed that both the crude oil market model and the natural gas market model had a higher probability of maintaining stable period than unstable period, increasing volatility by specific events. Second, looking at the results of the analysis of the connectedness between stable period and unstable period of the energy market, it was confirmed that in the case of total connectedness, connectedness between variables was increased in the unstable period compared to the stable period. In the case of the energy market stable period, considering the degree of connectedness, it was confirmed that the effect of the tanker freight index, which represents the demand-side factor, was significant. Third, unstable period of the natural gas market model increases rapidly compared to the crude oil market model, indicating that the volatility spillover effect of the natural gas market is greater when uncertainties affecting energy prices increase compared to the crude oil market.

Optimal Hedge Strategy Using Future Contract in the Vesting Contract Electricity Market (베스팅계약 전력시장에서 선물 최적헷지전략 연구)

  • 맹근호;송광재;박종근
    • The Transactions of the Korean Institute of Electrical Engineers A
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    • v.53 no.7
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    • pp.414-419
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    • 2004
  • In TWBP new uncertainty will be increased. Risk management is risen to a important problem. Vesting contract makes market Players trade at fixed price in TWBP early stages. In the case of advanced country, market players manage risk with a future contract. When a risk management method moves from vesting contract to future contract, it may have to use together two contracts for schedule period. In this paper, risk management strategy that use vesting contract and forward contract at the same time is proposed.

Asymmetric Impacts of Oil Price Uncertainty on Industrial Stock Market -A Quantile Regression Approach - (분위수회귀분석을 이용한 유가 변동성에 대한 산업별 주식시장의 이질적 반응 분석)

  • Joo, Young-Chan;Park, Sung-Yong
    • Management & Information Systems Review
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    • v.38 no.3
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    • pp.1-19
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    • 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.