• Journal of the Korean Data Analysis Society
• /
• v.20 no.6
• /
• pp.2759-2769
• /
• 2018

The behavioral finance view on the existence of asset pricing anomalies is based on two factors: investors' sentiment and limits to arbitrage. This paper tries to examine the effect of investors' sentiment on the stock price in the Korean stock market. In order to measure investors' sentiment, we constructed the sentiment index using principal component of five sentiment variables. By using sentiment index as an additional independent variable to three risk factors, impacts of the sentiment index on individual stocks and 25 portfolios sorted by BM-size are examined. Main results found are as follows: 1) not only all three risk factors show positive impacts on the return of individual stock, but also the sentiment index has a positive impact. SI alone explains 15% of individual return variation. 2) among four independent variables, the most important factor turned out to be the market risk factor and investors' sentiment has better explanatory power on stock price than the size effect. 3) after controlling the market risk factor, the coefficient of the sentiment index for the smallest size and highest book/market value portfolios is significantly positive. 4) all the coefficients of the sentiment index for 25 portfolios sorted by BM-size have significant positive value after controlling size or (and) value.

• The Journal of the Korea institute of electronic communication sciences
• /
• v.5 no.2
• /
• pp.205-213
• /
• 2010

This study was to analyze the past regime's real estate policy and the time-series data on real estate price index from 1986 to 2009 in 24 years. Also, the real estate index and macroeconomic variables, the impact on house price index variable conducted to regression analysis and to analyze whether and how much is affected. Analyzed as follows: First, Korea's real estate policy was the post-policy and the past regime's real estate policy was inconsistent with each other. Second, in the normal phase whenever real estate issues, the measures of the strengthening regulation and of the economic recovery were only to repeat periodically. Third, the timing and means of policy enforcement was an inappropriate and Real estate market was getting worse at the time whenever a real estate policies performed. Fourth, The apartments prices index of the housing types rose the highest and were the most popular for 24 years. Increase or decrease the amount of the price index for apartments, Roh Tae-woo(65.0%) - Kim Dae-jung (42.5%) - Roh Moo-hyun (32.8%) were in order. Fifth, the results of the regression analysis carried out: The impact on housing prices among independent variables were followed by Cap Construction- one per capita income - Housing consumer price index - Accompanying Composite Index - Trailing Composite Index - Home subscription Subscriber account - Leading Composite Index.

• Journal of the Korea Institute of Building Construction
• /
• v.8 no.6
• /
• pp.65-74
• /
• 2008

The aim is to get comprehensive view point for the price of apartment. Apartment construction cost is the sun of land cost and building cost. Land price reflects the value of location where building stands. When the gap between price and affordability is narrow enough, effective demand promote apartment construction. The today's trends of rising price, which began in apartment housing, spreads to real estates market and finally overall consumer price. Problem is that price is decided only by supplier's interest. Equilibrium-pricing is common process in housing market. However it is important to review hedonic price and the factor of housing services and focused on the affordability of demanders. AHP analysis was used to study real needs and preference of demanders and dealt with 200 interviewees with brief checklists. We found that social factor is more important than building cost or site development. Especially location of apartment is most important to affect environment quality and accessibility to facilities.

• Proceedings of the KIEE Conference
• /
• 2001.07a
• /
• pp.386-388
• /
• 2001

The change of the electricity charge from cost base to price base due to the introduction of the electricity market competition causes consumer to choose a variety of charge schemes and a portion of loads to be affected by this change. Besides, it is required the index that consolidate the price volatility experienced on the power exchange with gaming and strategic bidding by suppliers to increase profits. Therefore, in order to find a mathematical model of the sensitively-responding-to-price loads, the price-sensitive load model is needed. And the development of state-of-the-art technologies affects the electricity price, so the diffusion of high-efficient end-uses and these price affect load patterns. This paper shows the analysis on learning curves algorithms which is used to investigate the correlation of the end-uses' price and load patterns.

• KDI Journal of Economic Policy
• /
• v.44 no.4
• /
• pp.79-108
• /
• 2022

This study examines the impact of sentiment shock, which is defined as a stochastic innovation to the Housing Market Confidence Index (HMCI) that is orthogonal to past housing price changes, on aggregate housing price changes and housing price volatility. This paper documents empirical evidence that sentiment shock has a statistically significant relationship with Korea's aggregate housing price changes. Specifically, the key findings show that an increase in sentiment shock predicts a rise in the aggregate housing price and a drop in its volatility at the national level. For the Seoul Metropolitan Region (SMR), this study also suggests that sentiment shock is positively associated with one-month-ahead aggregate housing price changes, whereas an increase in sentiment volatility tends to increase housing price volatility as well. In addition, the out-of-sample forecasting exercises conducted here reveal that the prediction model endowed with sentiment shock and sentiment volatility outperforms other competing prediction models.

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.1
• /
• pp.143-152
• /
• 2022

This paper examines the relationship between investor sentiment and the risk of a stock price crash at the firm level. Our dataset includes 131 firms listed on the Saudi stock exchange (Tadawul) from 2011 to 2019, as well as 953 firm-year observations. To evaluate crash risk, we employ two distinct proxies and propose an index for measuring firm-level sentiment which we use for the first time in our study. The average turnover rate, price-earnings ratio, and overnight return are the three sentiment proxies we utilize in our index. Our findings show that high levels of investor emotion increase managers' proclivity to withhold unfavorable news from investors, which aggravates the risk of a stock price crash. We undertake cross-sectional regressions by sector to ensure the robustness of our findings, and our findings are confirmed. After accounting for any endogeneity issues with the GMM technique, the results remain the same. Furthermore, we analyze the liquidity effect by dividing our sample into subsamples with better and worse liquidity and find that firms with worse liquidity have a considerably greater positive impact of investor mood. Overall, our findings help investors and regulators recognize the significance of this downside risk and how to manage it in the stock market.

• Journal of Distribution Science
• /
• v.11 no.10
• /
• pp.73-79
• /
• 2013

Purpose - This study examines the impact of oil price volatility on economic activities in Korea. The new millennium has seen a deregulation in the crude oil market, which invited immense capital inflow into Korea. It has also raised oil price levels and volatility. Drawing on the recent theoretical literature that emphasizes the role of volatility, this paper attends to the asymmetric changes in economic growth in response to the oil price movement. This study further examines several key macroeconomic variables, such as interest rate, production, and inflation. We come to the conclusion that oil price volatility can, in some part, explain the structural changes. Research design, data, and methodology - We use two methodological frameworks in this study. First, in regards to the oil price uncertainty, we use an Exponential-GARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity: EGARCH) model estimate to elucidate the asymmetric effect of oil price shock on the conditional oil price volatility. Second, along with the estimation of the conditional volatility by the EGARCH model, we use the estimates in a VECM (Vector Error Correction Model). The study thus examines the dynamic impacts of oil price volatility on industrial production, price levels, and monetary policy responses. We also approximate the monetary policy function by the yield of monetary stabilization bond. The data collected for the study ranges from 1990: M1 to 2013: M7. In the VECM analysis section, the time span is split into two sub-periods; one from 1990 to 1999, and another from 2000 to 2013, due to the U.S. CFTC (Commodity Futures Trading Commission) deregulation on the crude oil futures that became effective in 2000. This paper intends to probe the relationship between oil price uncertainty and macroeconomic variables since the structural change in the oil market became effective. Results and Conclusions - The dynamic impulse response functions obtained from the VECM show a prolonged dampening effect of oil price volatility shock on the industrial production across all sub-periods. We also find that inflation measured by CPI rises by one standard deviation shock in response to oil price uncertainty, and lasts for the ensuing period. In addition, the impulse response functions allude that South Korea practices an expansionary monetary policy in response to oil price shocks, which stems from oil price uncertainty. Moreover, a comparison of the results of the dynamic impulse response functions from the two sub-periods suggests that the dynamic relationships have strengthened since 2000. Specifically, the results are most drastic in terms of industrial production; the impact of oil price volatility shocks has more than doubled from the year 2000 onwards. These results again indicate that the relationships between crude oil price uncertainty and Korean macroeconomic activities have been strengthened since the year2000, which resulted in a structural change in the crude oil market due to the deregulation of the crude oil futures.

• The Journal of the Korea Contents Association
• /
• v.13 no.1
• /
• pp.417-424
• /
• 2013

The purpose of this study is to find out the effect of macroeconomic variables on the hotel profitability and suggest the reasonable way to handle them. To achieve this purpose, seven macroeconomic variables were used as an independent variable. These were the index of industrial production, West Texas Intermediate, the consumer price index, the unemployment rate, the money supply, the trade balance and the exchange rate. And ROA and ROE of total hotels were used as a dependant variable respectively. As the result of regression, it was found that the index of industrial production and the exchange rate had a significant and positive effect on ROA. And West Texas Intermediate, the consumer price index and the unemployment rate had a significant and negative effect on ROA. Also the consumer price index and the unemployment rate had a significant and negative effect on ROE and the exchange rate had a significant and positive effect on ROE. Through the analysis two key variables were found to be very important ones. These were the unemployment rate and the exchange rate. So the hotel managers need to emphasize on the good price of domestic hotel products and supply the various productions and services to the guests when the exchange rate is increased. But when the unemployment rate is increased, the hotel managers should consider to supply the middle price products with the hight price products.

• Journal of Korean Society for Geospatial Information Science
• /
• v.23 no.1
• /
• pp.23-29
• /
• 2015

In this study, the spatial relevance between the regional housing price data and the spatial distribution of the location-based social media data is explored. The spatial analysis with rasterization was applied to this study, because the both data have a different form to analyze. The geo-tagged Twitter data had been collected for a month and the regional housing price index about sales and lease were used. The spatial range of both data includes Seoul and the some parts of the metropolitan area. 2,000m grid was constructed to consider the different spatial measure between two data, and they were combined into the constructed grids. The Hotspot Analysis was operated using the combined dataset to see the comparison of spatial distribution, and the bivariate spatial correlation coefficients between two data were measured for the quantitative analysis. The result of this study shows that Seocho-gu area is detected as a common hotspot of tweet and housing sales price index data. though the spatial relevance is not detected between tweet and housing lease price index data.

• Proceedings of the Korean Institute Of Construction Engineering and Management
• /
• 2006.11a
• /
• pp.289-294
• /
• 2006

Residential buildings industry hold lots of portions in Korean construction. Accurate cost index for Residential buildings is required to understand trends of prices of the constructions and to manage budget for them effectively. So Korea Institute of Construction Technology has issued a cost index for residential buildings every six months. However It hasn't been improved although It can't reflect the actual circumstance. So we are supposed to make a new cost index for residential buildings based on statistical data extracted from bills of quantity at three different projects.