• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.69-101
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• 2008

We empirically investigate the option leverage property that should be priced under much more general conditions than the Black-Scholes assumptions and the option redundancy property that is based on the assumption that the underlying asset price follows a one-dimensional diffusion process and examine the systematic risk factors implied in the return dynamics of KOSPI 200 index options. We find that the option leverage pattern is similar to the theoretical result but the options are not redundant securities and in the nonlinear structure of option payoffs, the traders of KOSPI 200 index options price the systematic higher-moments and the negative volatility risk premium significantly affects delta-hedged gains, even after accounting for jump fears. But the empirical evidence on jump risk preference is less conclusive.

• Journal of the Korea Convergence Society
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• v.8 no.11
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• pp.383-391
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• 2017

This study examines the relationship between sentiment of speculators and price movements in the futures markets of WTI crude oil, copper, and wheat during the period 2003~2014 using Granger causality tests. The results indicate that speculative positions overall has no predictive power for returns in each futures market. Rather, returns seem to have effects on speculators' sentiment especially during periods of both economic expansion and recovery. During a recession, meanwhile, changes of speculators' sentiment index in the WTI crude oil and copper markets provide predictive power for returns in a positive direction, suggesting that speculators' pessimistic sentiment aggravates declines in commodity prices. Since the effects of speculative positions on market prices are ambiguous, tight regulations on speculative trading are not advisable. In a bearish market, however, regulatory bodies should consider raising speculative position limits because large speculative short positions and (or) liquidation of index traders' long positions may lead steep price declines.

• Journal of the Korea Society of Computer and Information
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• v.8 no.3
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• pp.113-123
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• 2003

Many researches on the application of neural networks for making financial index prediction have proven their advantages over statistical and other methods. In this paper, a neural network model is proposed for the Buying, Holding or Selling timing prediction in stocks by the price index of stocks by inputting the closing price and volume of dealing in stocks and the technical indexes(MACD, Psychological Line). This model has an equalized multi-layer arithmetic function as well as the time series prediction function of backpropagation neural network algorithm. In the case that the numbers of learning data are unbalanced among the three categories (Buying, Holding or Selling), the neural network with conventional method has the problem that it tries to improve only the prediction accuracy of the most dominant category. Therefore, this paper, after describing the structure, working and learning algorithm of the neural network, shows the equalized multi-layer arithmetic method controlling the numbers of learning data by using information about the importance of each category for improving prediction accuracy of other category. Experimental results show that the financial index prediction using the equalized multi-layer arithmetic neural network has much higher correctness rate than the other conventional models.

• Journal of Digital Convergence
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• v.17 no.10
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• pp.169-176
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• 2019

Recently, the Korean economy is congested with Japan's economic retaliation, the US-China trade war, the Bank of Korea's 0.25% base rate cut and Korea's economic growth forecast revision. The purpose of this study is to analyze the KOSPI, CPI, Treasury bonds(3 years) Interest rate & sales performance of all industries, and examine the impact of each index on the KOSPI. The analysis period is from January 2003 to June 2019, and the effect of each index on the KOSPI is analyzed. In numerical analysis, we performed correlation coefficients and regression analysis. In the model analysis, the distribution, quadrant, scatter, box-plot and impulse response were examined. This study examined the volatility and dynamic characteristics of each index. As a result, the KOSPI showed a high correlation with sales and Treasury bonds, but showed a very low correlation with the CPI. The KOSPI will continue to be affected by sales and interest rates.

• The Journal of the Korea Contents Association
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• v.22 no.8
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• pp.329-338
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• 2022

As the non-face-to-face economic situation developed due to the COVID-19 pandemic, untact stock groups appeared in the stock market. This study proposed the Korea COVID-19 fear index following the spread of infectious diseases in the COVID-19 pandemic situation and analyzed the influence on the untact stock and contact stock returns. The results of the empirical analysis are as follows. First, as a result of the Granger causality analysis using the Korea COVID-19 fear index, significant causality was found in the return of contact stocks such as Korean Air, Hana Tour, CJ CGV, and Paradise. Second, as a result of stock price prediction based on the LSTM model, Kakao, Korean Air, and Naver's prediction performance was high. Third, the investment performances of the Alexander filter entry rule using the predicted stock price were high in Naver futures and Kakao futures. This study can find a difference from previous studies in that it analyzed the influence of the spread of the COVID-19 pandemic on untact and contact stocks in the COVID-19 situation where the non-face-to-face economy is in full swing.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.7
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• pp.153-171
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• 2022

To measure economic performance, customer satisfaction indices are constructed. This study proposes an index for banking and telecom, a significant evaluative system for comparing and enhancing customer satisfaction across the industries. The study suggests and examines amendments and improvements to the prior indices and incorporates ignored indicators to propose a punier index for Pakistan. The study is a pioneer in integrating online and offline indices into a single comprehensive model. The study is enriched by the Theory of Reasoned Action and Technological Acceptance Model. A sample of 320 respondents was used. The sample was divided based on gender and marital status. To authenticate the theoretical model, PLS-SEM was applied. We discovered nine latent variables that define customer satisfaction and conclude that a single model can be utilized for e-commerce enterprises as well. The index scores are comparable to the American index for banking and the Turkish index for telecom. Multi-group analysis (MGA) was used to comprehend the differences among the groups. This reveals that customization, design, reliability, and responsiveness induce satisfaction in telecom male and married customers. For the banking industry, the difference exists in complaint handling, customization, corporate image, perceived price, reliability, responsiveness, sentiments, convenience, and security to satisfaction links, image and complaint handling to loyalty links.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.3
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• pp.79-85
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• 2016

In today's fast-paced capitalistic society, a primary concern is whether to invest capital in any way to increase profits. In recent years, many companies have emphasized ethics and practiced corporate social responsibility activities. These activities are not only required to have at the end of the company. Bringing the ultimate goal of profit maximization is one way to contribute to the development of society and the economy. Investors are aware of corporate social responsibility activities and have begun to reflect this in their investments. We studied the behavior of a newly incorporated company's stock price on the KRX SRI Index using a scale that indicates the level of social responsibility for companies in the domestic stock market. Socially responsible investment involves an excellent company that looks out and looks for additional effects on the stock price of imports and improves the reliability of investors through an event study. The results show that the company we examined has a positive impact on the market. This study confirms the hypothesis that additional stock market reaction will occur when superior companies are newly incorporated in the KRX SRI Index and gain investors' trust. The results demonstrate that becoming a newly incorporated corporation in the KRX SRI Index is positive information to investors.

• Journal of Korea Port Economic Association
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• v.28 no.4
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• pp.193-207
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• 2012

The of purpose of this study is to predict export and import container volumes using a Decision Tree analysis. Factors which can influence the volume of container cargo are selected as independent variables; producer price index, consumer price index, index of export volume, index of import volume, index of industrial production, and exchange rate(won/dollar). The period of analysis is from january 2002 to December 2011 and monthly data are used. In this study, CRT(Classification and Regression Trees) algorithm is used. The main findings are summarized as followings. First, when index of export volume is larger than 152.35, monthly export volume is predicted with 858,19TEU. However, when index of export volume is between 115.90 and 152.35, monthly export volume is predicted with 716,582TEU. Second, when index of import volume is larger than 134.60, monthly import volume is predicted with 869,227TEU. However, when index of export volume is between 116.20 and 134.60, monthly import volume is predicted with 738,724TEU.

• Journal of Cadastre & Land InformatiX
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• v.44 no.1
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• pp.79-96
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• 2014

This study presents the two major problems and those improvements of Cadastral Surveying Fee System. The system has been attempted to apply for Individual Public Land Price since 2011. To tackle those problems, this study examines a variety of literatures such as specialty publications, academic thesis, and reports from government. This study applies questionnaire survey method. And the data were collected by the personnel in charge of receiving cadastral surveying application in Gwangju and Jellanamdo branch, LX Korea Cadastral Survey Corp. In order to apply Individual Public Land Price to Cadastral Surveying Fee System, this study suggests subdivision of land at price and application of sample lot and land price standard index table. A number of curriculums provided by training institute in LX Korea Cadastral Survey Corp., education materials and cyber education method are necessary to promote awareness of personnel in charge. Publicity activities are also required to fulfill governmental basis.

• Environmental and Resource Economics Review
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• v.27 no.2
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• pp.339-362
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• 2018

In this paper, we simulate the contribution of an increasing renewable energy to demands for fossil fuels and power supply price by estimating a cost function for the Korean electric power generation sector. Since the renewable energy is a composite input, it is not feasible to compute the price index for renewable energy due to data limit. We estimate a restricted cost function, which is derived by minimizing the costs of fossil fuels conditional on the quantity of renewable energy set to its optimal level, jointly with supply relation. In particular, derivation of the shadow price of renewable energy would make it possible to analyze potential costs incurred by power plants.