• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.29-43
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• 2012

Financial data such as stock index returns and exchange rates have the properties of heavy tail and asymmetry compared to normal distribution. When we estimate VaR using the GARCH model (with the conditional return distribution of normal) it shows the tendency of the lower estimation and clustering in the losses over the estimated VaR. In this paper, we argue that this problem can be resolved through the adaptation of the unbounded Johnson distribution as that of the condition return. We also compare this model with the GARCH with the conditional return distribution of normal and student-t. Using the losses exceed the ex-ante VaR, estimates, we check the validity of the GARCH models through the failure proportion test and the clustering test. We nd that the GARCH model with conditional return distribution of unbounded Johnson provides an appropriate estimation of the VaR and does not occur the clustering of violations.

• Journal of Korean Society of Rural Planning
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• v.16 no.4
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• pp.109-116
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• 2010

Climate change is known to affect both natural and managed ecosystems, and will likely impact on the terrestrail carbon balance. This paper reports the effects of climate change on spatial-temporal changes in carbon reductions in South Korea's during 2000-2100. Future carbon (C) stock distributions are simulated for the same period using various spatial data sets including land cover, net primary production(NPP) and leaf area index (LAI) obtained from MODIS(Moderate Resolution Imaging Spectroradiometer), and climate data from Data Assimilation Office(DAO) and Korea Meteorological Administration(KMA). This study attempts to predict future NPP using multiple linear regression and to model dependence of soil respiration on soil temperature. Plants store large amounts of carbon during the growing periods. During 2030-2100, Carbon accumulation in vegetation was increased to $566{\sim}610gC/m^2$/year owing to climate change. On the other hand, soil respiration is a key ecosystem process that releases carbon from the soil in the form of carbon dioxide. The estimated soil respiration spatially ranged from $49gC/m^2$/year to $231gC/m^2$/year in the year of 2010, and correlating well with the reference value. This results include Spatial-Temporal C reduction variation caused by climate change. Therefore this results is more comprehensive than previous results. The uncertainty in this study is still large, but it can be reduced if a detailed map becomes available.

• Journal of Technology Innovation
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• v.10 no.1
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• pp.98-123
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• 2002

This study develops a Korean R&D Scoreboard which has originated from the R&D Scoreboard in United Kingdom. The Scoreboard contains details of the R&D investment, sales, growth, profits and employee numbers for Korean companies which are extracted from company annual reports and key ratios calculated, with some movements over time. Companies are classified by the Korea Standard Industrial Classification. The Scoreboard contains 190 companies which consist of 100 largest companies and 30 middle-or small-sized firms listed in Korea Stock Exchange (KSE), and 30 ventures and 30 other firms listed in KOSDAQ. The overall company R&D intensity (R&D as a percentage of sales) is 2.1% compared to the international average of 4.2%. Korea has an unusually large R&D percentage of sales in IT hardware (4.9%) and telecommunication (3.7%). R&D intensity is positively correlated with company performance measures such as profitability, sales growth, productivity and market value. For largest companies listed in KSE and ventures listed in KOSDAQ, the ratio of operating profit to sales is greater for high R&D intensity companies. Sales growth is in proportion to R&D intensity for all companies. Plots of value added per employee or sales per employee vs R&D per employee rise together for the sectors studied, especially for the chemical sectors and automobile sectors, demonstrating a correlation with productivity. The average market value of high R&D companies in the KSE has risen more than 1.6 times that of the KOSPI 200 index. Given the correlation between R&D intensity and company performance and given that R&D is a smaller percentage of surplus (profits plus R&D) than international level (both overall and in several sectors), the challenges facing Korean companies are to maintain the leading position in IT hardware and telecommunication, and to increase the intensity of R&D in many medium-intensive R&D sectors where Korea has an average intensity well below international or US levels.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.5 no.6
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• pp.580-587
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• 2004

The purpose of this study is to examine if the trading volume can apply to the short-term forecasting of the futures price change by verificating the casuality between trading volume and futures price in the KOSPI 200 futures market. The outcome of the research is summarized as follows. In the analysis of subordinate periods, based on the yearly time segments, trading volume were found to lead futures price. As for trading volume, it was under comparably greater influence of its self of the past than the return rate of futures. In the analysis of subordinate periods, based on the trend of the futures market, trading volume lead return rate of futures feebly in a bull market. But return rate of futures lead trading volume significantly in a bearish market.

• Economic and Environmental Geology
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• v.31 no.5
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• pp.399-413
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• 1998

Daegang granite is located around the Namwon-gun, Cheolabuk-do, and is an elongate stock $(80 km^{2})$ in the NNE-SSW direction. Daegang granite has the very same mineralogical and geochemical characteristics as those of the typical A-type granites; (1) it is a one feldspar hypersolvus granite, and is classified as an alkali feldspar granite in the lUGS scheme, (2) has small amounts of Fe-rich biotite (annite) and alkali amphibole (ribeckite) that are late in the crystallization sequence of the granitic magma, (3) always contains opaque oxides, fluorite and zircon, (4) shows high and quite homogeneous $SiO_2$, content (mostly 72~77 wt.%) and $(Na_{2}O+K_{2}O)/Al_{2}O_{3}$ ratio (0.90~0.98), (5) contains high Ga, lOOOO*Ga/Ai, $K_{2}O+Na_{2}O$, $(K_{2}O+Na_{2}O)/CaO$, $K_{2}O/MgO$, FeO/MgO, agpaitic index, Zr, Nb, Ce, Y, Zn value or ratio that resemble to those of the Australian A-type granites (Whalen et al., 1987), and (6) has enriched LREE and HREE that show flat variation pattern with slightly depleted in HREE and profound Eu anomalies (Eu/Eu*=0.04~0.l4). In the tectonic discrimination diagrams of Pearce et al. (1984) and Eby (1992), Daegang granite is classified as a within plate granite and $A_{2}-type$.

• Korean Journal of Fisheries and Aquatic Sciences
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• v.41 no.2
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• pp.94-101
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• 2008

In Korean waters, there are two color types (blue and purple) of the blue crab Portunus trituberculatus. The blue type is common, but the ratio of the purple type has increased in landings. To determine whether there were significant morphometric or genetic differences between the blue and purple types, crabs caught from the West Sea of Korea were examined. Based on covariance analysis, there were significant differences in 1 of 10 morphometric characteristics of males between the two types, in none of the ten characteristics for females. Using amplified fragment length polymorphism (AFLP) DNA fingerprinting, no specific AFLP marker was detected for each type. The heterozygosity and genetic diversity were very low. Analyses of pairwise distance, the Fst index, and genetic similarity revealed similar results, with very low genetic differentiation. Therefore, there is no significant difference between blue and purple types of the crab from the West Sea of Korea, and the two types in the West Sea can be managed as one stock.

• Korean Business Review
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• v.18 no.1
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• pp.43-57
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• 2005

This paper investigate to test the validity of the basic assumptions of strategic trading models with the broker and informed trader using daily closing data of KOSPI 200 stock index futures for the year 2001-2003. Major results are summarized as follows: (i) For these years, while foreign investors and brokerage companies traded for the directions consistent with the model, brokerage companies and individual investors traded for inconsistent directions. (ii) Cross correlation function (CCF) analysis shows no systematic dependency in the trading between all three participants(foreign investor, brokerage companies and individual investors) for these years. (iii) Chi-square validity test for the 30 days of the largest unexpected trading volume shows some systematic dependency in the trading between three participants for these years. Finally, some limitations of this paper and direction for further research were suggested.

• Journal of Service Research and Studies
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• v.5 no.2
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• pp.35-49
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• 2015

The purpose of this paper is to see what the problem is and what the direction of the strategy of asset management after this study has analyzed asset management status of nonlife insurance companies according to interest rate trends, analyzing in time series asset state, management asset lists, asset distribution state, securities list and total asset yield of Nonlife insurance companies during year 2009~2014. As the study result, nonlife insurance companies have managed assets in stability than profitability according to safety asset was increased, but risky asset was decreased. Performance rate of total asset was dropped according to interest rate declined trends. Trend between stock index and performance rates of total asset was not accord. The correlation coefficient between interest rate and performance rates of total asset was highly plus, but the correlation coefficient of KOSPI and performance rate of total asset showed minus.

• Journal of Digital Convergence
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• v.13 no.5
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• pp.237-244
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• 2015

Export-led policies, FTA signed and economics of scale through a variety of market-oriented policies, such as regulations to improve market grew constantly. Accordingly, the correct decision making accurately analyze the economics market for decision, a problem has been an important issue in predicting. For accurate analysis and decision-making of the most common indicators of the stock market by proposing a number of indicators of economic transformation techniques were applied to the convergence model combining estimation and forecasts problem confirmed its effectiveness. Experimental result, gave the model estimation method to apply a transform to show the valid combinations proposed model state estimation result was confirmed in a very similar exercise aspect of the physical problem and the KOSPI index prediction.

• Journal of Korea Trade
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• v.25 no.5
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• pp.74-92
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• 2021

Purpose - Utilizing a large sample of Korean firms, this study examines international diversification impacts on corporate tax avoidance and whether firms affiliated with large business groups (known in Korean as "chaebol") reinforce the relationship between international diversification and tax avoidance. Design/methodology - This paper hypothesizes that 1) international diversification is likely to increase tax avoidance, 2) the positive effect of international diversification on tax avoidance is likely to be more pronounced for chaebol firms. We examine the hypotheses by using Korean firms listed in the Korean stock market between 2011 and 2016. We employ the number of foreign subsidiaries and the entropy index as proxies for international diversification and CASH ETR and GAAP ETR as proxies for tax avoidance. Findings - Our findings are summarized as follows. First, we have found that as firms are more internationally diversified, tax avoidance increases. It means that international diversification can be employed as a method of reducing the tax burden. Second, firms affiliated with chaebol are strengthened by the positive relation between international diversification and tax avoidance. It is interpreted that chaebol firms have more effective opportunities to reduce taxes than other firms. When entering foreign markets, they can share experience and resources to decrease taxation within the large business group. Originality/value - This study provides empirical evidence regarding the tax effect of international diversification. Unlike prior studies, international diversification is positively related to tax avoidance in Korea. In addition, we present additional evidence on the chaebol effects of international diversification on tax avoidance, in which they have an advantage to reduce taxes using transfer pricing through related party transactions, income shifting to low tax rate countries, and establishing subsidiaries in tax havens.