• Journal of the Korean Data and Information Science Society
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• v.23 no.2
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• pp.271-283
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• 2012

In this paper, we predicted the rise or the fall in eleven major industrial stock price indices unlike existing studies dealing with the prediction of KOSPI that combines all industries. We used as input variables not only domestic economic indices but also foreign economic indices including the U.S.A, Japan, China and Europe that have affected korean stock market. Numerical analysis through SAS E-miner showed above or below about 60% accuracy using the logistic regression and neural network model.

• Journal of Korea Port Economic Association
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• v.34 no.4
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• pp.125-140
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• 2018

This study uses daily price data on three major types of crude oil (Brent, Dubai, and WTI) and BDI from January 2, 2009 to June 29, 2018, to compare the relationship between crude oil prices and BDI for rate of change and volatility. Unlike previous studies, the correlation between BDI and crude oil prices was analyzed both the rate of change and variability, VARs, Granger Causality Test, and the GARCH and DCC models were employed. The correlation analysis, indicated that the crude oil price change rate and volatility affect the BDI change rate and that BDI volatility affects the crude oil price change rate and volatility. The relationship between oil prices and BDI is identified, but their correlation is low, which is likely a result of lower dependence on crude oil as demand for natural gas increases worldwide and demand for renewable energy decreases. These trends could result in lower correlations over time. Therefore, focusing on the changing demand for raw materials in future investments in international shipping(real economy) and oil markets and macroeconomic analysis is necessary.

• Journal of Labour Economics
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• v.44 no.1
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• pp.1-30
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• 2021

The objective of our study is investigating the effects of the minimum wage on a producer price index (PPI) and selected restaurant menu prices. As an identification strategy, we exploit inter-industrial and inter-regional variations in the share of workers who are affected by the minimum wage. Estimation results show a significant relationship between the share of workers affected by the minimum wage and prices. Specifically, a PPI and selected restaurant menu prices tend to rise by 0.77~1.68% and 0.16~1.86%, respectively as the share of workers affected by the minimum wage increase by 1%p. These estimates imply that during the period of our analysis 0.82~3.01% and 4.45~47.04% of overall changes in a PPI and selected restaurant food prices are associated with the adjustment in the minimum wage.

• Journal of Convergence for Information Technology
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• v.12 no.3
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• pp.116-125
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• 2022

The purpose of this study is to analyze whether investor anxiety caused by COVID-19 affects cryptocurrency prices in the COVID-19 pandemic, and to experiment with cryptocurrency price prediction based on a deep learning model. Investor anxiety is calculated by combining Naver's Corona search index and Corona confirmed information, analyzing Granger causality with cryptocurrency prices, and predicting cryptocurrency prices using deep learning models. The experimental results are as follows. First, CCI indicators showed significant Granger causality in the returns of Bitcoin, Ethereum, and Lightcoin. Second, LSTM with CCI as an input variable showed high predictive performance. Third, Bitcoin's price prediction performance was the highest in comparison between cryptocurrencies. This study is of academic significance in that it is the first attempt to analyze the relationship between Naver's Corona search information and cryptocurrency prices in the Corona phase. In future studies, extended studies into various deep learning models are needed to increase price prediction accuracy.

• Management Science and Financial Engineering
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• v.21 no.2
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• pp.13-23
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• 2015

This study addresses the question as to whether the option prices have useful predictive information on the direction of stock markets by investigating a forecasting power of volatility curvatures and skewness premiums implicit in S&P 500 index option prices traded in Chicago Board Options Exchange. We begin by estimating implied volatility functions and risk neutral price densities every minute based on non-parametric method and then calculate volatility curvature and skewness premium using them. The rationale is that high volatility curvature or high skewness premium often leads to strong bullish sentiment among market participants. We found that the rate of return on the signal following trading strategy was significantly higher than that on the intraday buy-and-hold strategy, which indicates that the S&P500 index option prices have a strong forecasting power on the direction of stock index market. Another major finding is that the information contents of S&P 500 index option prices disappear within one minute, and so one minute-delayed signal following trading strategy would not lead to any excess return compared to a simple buy-and-hold strategy.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.191-212
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• 2003

Recently, there is a growing body of literature that suggests that information inefficiency is one of the causes of the asymmetric volatility. If this explanation for the asymmetric volatility is appropriate, then innovations, such as the introduction of futures, may be expected to impact the asymmetric volatility of stock market. As transaction costs and margin requirements in the futures market are lower than those in the spot market, new information is transmitted to futures prices more quickly and affects spot prices through arbitrage trading with spots. Also, the merit of the futures market may attract noise traders away from the spot market to the futures market. This study examines the impact of futures on the asymmetry of stock market volatility. If the asymmetric volatility is significant lower post-futures and exist in the futures market, it has validity that the asymmetric volatility is caused by information inefficiency in the spot market. The data examined are daily logarithmic returns on KOSPI 200 stock price index from January 4, 1993 to December 26, 2000. To examine the existence of the asymmetric volatility in the futures market, logarithmic returns on KOSPI 200 futures are used from May 4, 1996 to December 26, 2000. We used a conditional mode of TGARCH(threshold GARCH) of Glosten, Jagannathan and Runkel(1993). Pre-futures the spot market exhibits significant asymmetric responses of volatility to news and post-futures asymmetries are significantly lower, irrespective of bear market and bull market. The results suggest that the introduction of stock index futures has an effect on the asymmetric volatility of the spot market and are inconsistent with leverage being the sole explanation of asymmetry. However, it is found that the volatility of futures is not so asymmetric as expected.

• Land and Housing Review
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• v.14 no.3
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• pp.55-75
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• 2023

Based on prior studies on real estate policy, tax policy, and financial policy, this study examined how tax policy and financial policy affected real estate prices using monthly data from January 2014 to December 2021. We performed a VAR model using unit root tests, cointegration tests, as well as conducted impulse response analysis and variance decomposition analysis. The results are as follows. First, the tax regulation index and the financial regulation index had no discernible impact on housing prices. Specifically, a one-sided stabilizing regulatory policy was ineffective and, instead, led to unintended side effects, such as price increases resulting from reduced transaction volume. Secondly, mortgage rates had a negative impact on the housing sale price index. In other words, an increase in interest rates might led to a decrease in housing prices. Thirdly, an increase in the transfer difference, which involves capital gains tax, has a positive effect on housing prices. This led to rising housing prices because the transfer taxes were shifted to buyers, causing them to hesitate to make purchases due to the increased tax burden. Fourthly, both acquisition taxes and mortgage loans had relatively little impact on housing prices.

• Journal of Intelligence and Information Systems
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• v.28 no.4
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• pp.157-177
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• 2022

Investors are trading stocks by keeping a close watch on the order information submitted by domestic and foreign investors in real time through Limit Order Book information, so-called price current provided by securities firms. Will order information released in the Limit Order Book be useful in stock price prediction? This study analyzes whether it is significant as a predictor of future stock price up or down when order imbalances appear as investors' buying and selling orders are concentrated to one side during intra-day trading time. Using classification algorithms, this study improved the prediction accuracy of the order imbalance information on the short-term price up and down trend, that is the closing price up and down of the day. Day trading strategies are proposed using the predicted price trends of the classification algorithms and the trading performances are analyzed through empirical analysis. The 5-minute KOSPI200 Index Futures data were analyzed for 4,564 days from January 19, 2004 to June 30, 2022. The results of the empirical analysis are as follows. First, order imbalance information has a significant impact on the current stock prices. Second, the order imbalance information observed in the early morning has a significant forecasting power on the price trends from the early morning to the market closing time. Third, the Support Vector Machines algorithm showed the highest prediction accuracy on the day's closing price trends using the order imbalance information at 54.1%. Fourth, the order imbalance information measured at an early time of day had higher prediction accuracy than the order imbalance information measured at a later time of day. Fifth, the trading performances of the day trading strategies using the prediction results of the classification algorithms on the price up and down trends were higher than that of the benchmark trading strategy. Sixth, except for the K-Nearest Neighbor algorithm, all investment performances using the classification algorithms showed average higher total profits than that of the benchmark strategy. Seventh, the trading performances using the predictive results of the Logical Regression, Random Forest, Support Vector Machines, and XGBoost algorithms showed higher results than the benchmark strategy in the Sharpe Ratio, which evaluates both profitability and risk. This study has an academic difference from existing studies in that it documented the economic value of the total buy & sell order volume information among the Limit Order Book information. The empirical results of this study are also valuable to the market participants from a trading perspective. In future studies, it is necessary to improve the performance of the trading strategy using more accurate price prediction results by expanding to deep learning models which are actively being studied for predicting stock prices recently.

• Bulletin of the Korean Mathematical Society
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• v.46 no.2
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• pp.209-227
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• 2009

We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.

• 한국산학경영학회:학술대회논문집
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• 2006.12a
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• pp.107-120
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• 2006

This thesis examines the relationship between the trading volume and price return in the korean stock Index Futures until June 2005. First, the volume of KOSPI200 futures doesn't play a primary role with the clear explanation of return model. Second, an unexpected volume shocks are negatively associated with the return in case of the KOSPI200 futures, but it is a meaningless relation in the KOSDAQ50 futures. In the case of open interest, it's difficult to find any mean in a both futures. Third, The changes in the trading volumes by foreign investors are positively associated with the return and the volatility, but individuals and domestic commercial investors are negatively associated with the return. This empirical result seems that foreign investors are initiatively trading the korean stock index futures, individuals and domestic commercial investors follow the lead made by foreign investors.