• 한국수자원학회논문집
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• 제42권4호
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• pp.355-363
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• 2009

본 연구에서는 카오스 특성을 보이는 수문시계열에 대한 잡음의 영향을 검토하기 위하여 카오스 특성을 보이는 자료로 알려져 있는 Lorenz 시계열과 미국 Great Salt Lake의 용적 자료계열을 이용하였다. 잡음의 영향을 고려하기 위한 방법으로 잡음의 비율을 증가시키면서 끌개, 상관차원, Close Returns Plot의 변화 특성을 살펴보면서 카오스의 특성이 어떻게 변화하는지를 검토하였다. 또한 Close Returns Plot의 점들의 도수에 의해 표현되는 Close Returns Histogram의 상대도수에 대하여 $X^2$ 검정을 수행하였다. 그 결과, Lorenz 시계열과 GSL 용적 자료계열 모두 잡음의 비율이 증가함에 따라 카오스 특성이 사라지고 선형 추계학적인 과정의 자료로 변화됨을 확인하였다. 또한 단순 이동평균 방법에 의하여 Lorenz 시계열과 GSL 용적 자료계열에 대한 잡음의 제거 효과가 있는지에 대하여 검토한 결과 단순 이동평균 방법으로 자료의 잡음을 효과적으로 제거할 수 있었고, 카오스 특성을 보이는 실측 수문시계열에 적용성이 있음을 확인할 수 있었다.

• 한국융합학회논문지
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• 제9권7호
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• pp.213-222
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• 2018

본 연구는 외환위기 이후인 2001년~2016년의 기간 동안 코스피 또는 코스닥 시장에 상장된 기업을 분석 대상으로 하여 성장주와 가치주의 초과수익률을 비교 분석했다. 최근 성장주로 불리는 일부 정보기술(IT)주와 의약 바이오주가 가치주에 비해 높은 초과수익률을 보이고 있다. 외국의 선행연구는 성장주가 평균적으로 음(-)의 초과수익률을 나타내며, 초과수익률의 분포가 정규분포가 아닌 오른쪽으로 긴 꼬리를 지닌 양(+)의 왜도(skewness)를 갖는 형태로 보고되고 있다. 본 연구의 실증분석 결과도 이러한 선행연구의 결과와 일관된다. 흥미로운 점은 성장주와 가치주의 초과수익률의 시계열이 서로 역(-)의 상관관계를 갖는 것으로 관찰되었다. 또한 성장주 또는 가치주에 관계없이 PEG(=PER/ROE) 지표가 우량할수록 투자수익률이 높았다.

• 분석과 대안
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• 제7권3호
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• pp.145-179
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• 2023

이 논문은 국제성인 역량프로그램(PIAAC) 자료를 바탕으로 교육에 따른 역량의 증진, 연령과 역량사이의 관계, 노동시장에서 역량의 수익률 등 세 측면에서 한국의 특징을 중심으로 국제비교를 시도한다. 실증분석 결과 한국은 교육수준에 따른 역량 차이가 크지 않고, 연령에 따른 역량의 감소 현상이 매우 두드러지며, 수리, 언어, 문제해결 중세 언어역량에 따른 수익률이 가장 높은 것으로 나타났다. 이는 많은 나라에서 수리역량에 대한 수익률이 가장 높은 것과는 비교되는 현상이다. 또한 한국은 문제해결 역량에 따른 수익률이 비교 대상 국가 중에 가장 낮으며 교육수준과 문제해결 역량 간의 상관관계도 가장 낮은 편에 속한다. 이러한 일련의 결과는 노동시장에서 역량을 축적할 수 있는 기회와 유인이 주어지는 시스템과 문화에 대한 고민이 교육시스템에 대한 관심 이상으로 필요하다는 점을 보여준다.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회/대한산업공학회 2003년도 춘계공동학술대회
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• pp.683-690
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• 2003

This purpose of this research is an attempt to measure and comparatively analyze the efficiencies and RTS(Returns to Scale) using panel data of OECD countries including Korea. In order to achieve this purpose, at first this study used efficient production frontier estimation combined with DEA for obtaining parameter estimates of a efficient production frontier. secondly using estimated results, measured R&D productivity and RTS(Returns to Scale) on all of the OECD countries. thirdly using time-series data related to R&D activity of korea, measured R&D productivity and RTS(Returns to Scale). Finally based on the results of R&D productivity and RTS(Returns to Scale) using efficient production frontier, some policy implications for enhancing the R&D competitiveness and the technological capabilities are discussed.

• 산업융합연구
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• 제2권2호
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• pp.127-147
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• 2004

This paper examines the time-series relations among expected return, risk, and book-to-market(B/M) at the portfolio level. The time-series analysis is a natural alternative to cross-sectional regressions. An alternative feature of the time-series regressions is that they focus on changes in expected returns, not on average returns. Using the time-series analysis, we can directly test whether the three-factor model explains time-varying expected returns better than the characteristic-based model. These results should help distinguish between the risk and mispricing stories. We find that B/M is strongly associated with changes in risk, as measured by the Fama and French(1993) three-factor model. After controlling for changes in risk, B/M contains little additional information about expected returns. The evidence suggests that the three-factor model explains time-varying expected returns better than the characteristic-based model.

• Journal of Korea Trade
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• 제23권2호
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• pp.110-126
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• 2019

Purpose - This paper examines the recently realized continuous volatility and discrete jumps of US Dollar/Euro returns using the frequency of five minute returns spanning the period from February 2010 through February 2018with periodicity filters. Design/Methodology - This paper adopts the nonparametric estimation. The realized volatility and Realized Outlying Weighted variations show non-Gaussian, fat-tailed, and leptokurtic distributions. Some significant volatility jumps in returns occurred from 2010 through 2018, and the very exceptionally large and irregular jumps occurred around 2010-2011, after the EU financial crisis, and 2015-2016. The outliers occurred somewhat frequently around the years of 2015 and 2016. Originality/value - When we include periodicity filters of volatility such as MAD, Short Half Scale, and WSD, the five minute returns of US Dollar/Euro exchange rates have smaller daily jump probabilities by 20-30% than when we do not include the periodicity filters of volatility. Thus, when we consider the periodicity filters of volatility such as MAD, Short Half Scale, and WSD, the five minute returns of US Dollar/Euro have considerably smaller jump probabilities.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.683-692
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• 2020

The primary purpose of the study is to investigate the volatility spillovers from global economic policy uncertainty and macroeconomic factors to the Islamic stock market returns. The study focuses on the Islamic stock indices of emerging economies including Indonesia, Malaysia, and Turkey. The Macroeconomic factors are industrial production, consumer price index, exchange rate. EGARCH model is employed for investigation of volatility spillovers. The results show that the global economic policy uncertainty has a significant spillover effect only on the returns of Turkish Islamic stock index. Similarly, the shocks in macroeconomic factors have little influence on the volatility of Islamic indices returns. The volatility of Indonesian and the Turkish Islamic stock indices returns is not influenced from the fluctuations in macroeconomic factors. However, there is significant volatility spillover only from industrial production to the returns of Malaysian Islamic index. The results suggest that the Islamic stock markets are less likely to influence from the global economic policies and macroeconomic factors. The stability of Islamic stocks provide opportunity for diversification of portfolios, particularly in stressed market conditions. The major price factors of Islamic markets could be firms' specific factors or investors' behaviors. The findings are helpful for policy makers and investors in formulating policies and portfolios.

• The Journal of Asian Finance, Economics and Business
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• 제7권8호
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• pp.51-59
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• 2020

The objective of this study is to enrich the literature by investigating the impact of introduction of index future trading on spot market returns and trading volume in Vietnam. Data used in this study mainly consist of daily VN30-Index and market trading volume series during the period from February 6^th, 2012 to December 31^st, 2019. Using OLS, GARCH(1,1) and EGARCH(1,1) models, the empirical findings consistently confirm that the introduction of index future trading has no impact on the spot market returns. In addition, the results of the EGARCH(1,1) model indicate that the leverage effect on the spot market volatility is existence in HOSE. Specifically, bad news has a greater effect on the market volatility than good news of the same size. Moreover, our empirical findings reveal that the introduction of index future contracts has the positive impact on the underlying market trading volume. Specifically, the trading volume of the post-index futures introduction increases by 7.5 percent compared with the pre-index futures introduction. Finally, the results obtained from the Granger causality test for the relationship between the spot market returns and the future trading activity confirm that only uni-directional causality running from the market returns to the future trading activity exists in HOSE.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.777-784
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• 2021

This study explores the impact of COVID-19 pandemic and the lockdown policies that are used to tackle the pandemic on stock market returns in Indonesia. This study uses fixed-effects panel-data regression method to evaluate the impact of the growth in COVID-19 total confirmed cases and death as well as the lockdown policies on daily stock returns of 272 firms that are listed on the Indonesia Stock Exchange's main board and operate in the real sector from 2 March 2020 to 27 November 2020. The study confirms the significantly adverse impact of growth in the total of confirmed cases and death due to COVID-19 on Indonesia's daily stock returns. Moreover, the lockdown policies regardless how strict they are, have a positive and significant impact on the Indonesia's daily stock returns. This study further considers the different impact of COVID-19 pandemic on each of eight observed sectors; where the sector of property as well as trade, service and investment have a significantly negative performance; while the sector of basic industry, consumer goods and mining have a significantly better performance. This study suggests that COVID-19 pandemic and the lockdown policies have a mixed impact on the Indonesia's stock market returns.

• 산업경영시스템학회지
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• 제44권4호
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• pp.98-105
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• 2021

Using the frequency-based decomposition, I decompose the consumption growth to explain well-known patterns of stock returns in the Korean market. To be more specific, the consumption growth is decomposed by its half-life of shocks. The component over four years of half-life is called the business-cycle consumption component, and the components with half-lives under four years are short-run components. I compute the long-run and short-run components of stock excess returns as well and use component-by-component sensitivities to price stock portfolios. As a result, the business-cycle consumption risk with half-life of over four years is useful in explaining the cross-section of size-book-to-market portfolios and size-momentum portfolios in the Korean stock market. The short-run components have their own pricing abilities with mixed direction, so that the restricted one short-term factor model is rejected. The explanatory power with short- and long-run components is comparable to that of the Fama-French three-factor model. The components with one- to four-year half-lives are also helpful in explaining the returns. The results about the long-run components emphasize the importance of long-run component in consumption growth to explain the asset returns.