• Journal of Korea Society of Digital Industry and Information Management
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• v.4 no.4
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• pp.113-125
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• 2008

This paper investigates the spillover effects(co-movements) between korean and U.S stock market by KOSPI and DJIA Index. Especially it compare to the pre- and post period of U.S. financial crisis resulted from sub-prime mortgage loan. The main results are as follows. First, the spillover effects of DJIA(U.S. market) to KOSPI(Korean market) are strong. This result accord with the former researches on this subject. Second, spillover effects are more strong after U.S. financial crisis. A possible reason for this phenomenon is a trend which the major investors such as foreign and institutional investors in domestic stock market have more attention to U.S. stock market. Third, the spillover effects appear in the opposite direction, that is KOSPI(Korean Stock Market) to DJIA(U.S. Stock Market). It seems to be the results of asian stock market's growing infIuences to European and U.S Markets.

• The Journal of the Korea Contents Association
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• v.6 no.8
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• pp.78-85
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• 2006

This study examined the stock return co-movement among Korean digital contents industry, American NASDAQ, and Japanese NIKKEI225. This is to identify the reaction of Korean digital contents industry on the movement of foreign stock market. To investigate the co-movements, during the period of 1999 to 2005, daily logarithm difference returns of each stock market indices are tested by the methodology of Granger(1963, 1969)'s causality test. The positive influence from NASDAQ index to Korean digital contents industry index are found, but not vice versa. It means that the market value of firms in Korean digital contents industry affected by the movement of American NASDAQ market which composite with digital IT firms. However, the co-movements with NIKKEI225 did not found.

• Journal of Korea Society of Digital Industry and Information Management
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• v.6 no.4
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• pp.297-305
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• 2010

Employment number by areas is composed of various factors for groups and time series. In this paper, we use the panel data for finding various variables and using this, we analyzed the factors that is major influence to employment number by areas. For analysis we looked at employment number by areas, the region for analysis consist of seven groups, that is, the metropolitan city(such as Busan, Daegu, Incheon, Gwangiu, Daejeon, Ulsan.) and Seoul. Analyzing period be formed over a 63 time points(2005.01.- 2010.03). We examined the data in relation to the employment number by occupational job, unemployment rate, monthly household income, preceding business composite index, consumer price index, composite stock price index. In looking at the factors which determine employment number by areas job, evidence was produced supporting the hypothesis that there is a significant negative relationship between unemployment rate and monthly household income the consumer price index. The consumer price index and composite stock price index are significant positive relationship, preceding business composite index is positive relationship, it are not significant variables in terms of employment number by areas job.

• Journal of Climate Change Research
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• v.7 no.4
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• pp.485-492
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• 2016

For reporting national greenhouse gas inventory in forest sector, the forest growing stock from the National Forest Inventory (NFI) system has used as activity data sources. The National Forest Inventory system was changed from rotation system by province to annual system by 5 years across the country. The forest growing stocks based on the new inventory system produced a different trend compared to the previous estimations. This study was implemented to recalculate previous forest growing stocks for time series consistency at a national level. The recalculation of forest growing stock was conducted in an overlap approach by the IPCC guideline. In order to support the more consistency data, we used calibration factors between applied stand volumes in 1985 and 2012, respectively. As a result, the time series of recalculated forest growing stock was to be consistency using the overlap approach and the calibration factor with the lower middle/middle site index. According to the applied overlap period, however, we will recalculate activity data using more complete data from national forest inventory system.

• The Journal of Information Systems
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• v.30 no.3
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• pp.21-45
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• 2021

Purpose This paper analyzed the impacts of domestic stock market by a global pandemic such as COVID-19. We investigated how the overall pattern of the stock market changed due to the impact of the COVID-19 pandemic. In particular, we analyzed in depth the pattern of stock price, as well, tried to find what factors affect on stock market index(KOSPI) in the healthcare industry due to the COVID-19 pandemic. Design/methodology/approach We built a data warehouse from the databases in various industrial and economic fields to analyze the changes in the KOSPI due to COVID-19, particularly, the changes in the healthcare industry centered on bio-medicine. We collected daily stock price data of the KOSPI centered on the KOSPI-200 about two years before and one year after the outbreak of COVID-19. In addition, we also collected various news related to COVID-19 from the stock market by applying text mining techniques. We designed four experimental data sets to develop decision tree-based prediction models. Findings All prediction models from the four data sets showed the significant predictive power with explainable decision tree models. In addition, we derived significant 10 to 14 decision rules for each prediction model. The experimental results showed that the decision rules were enough to explain the domestic healthcare stock market patterns for before and after COVID-19.

• Journal of Distribution Science
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• v.21 no.3
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• pp.93-100
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• 2023

Purpose: The purpose of this paper is to confirm whether stocks belonging to the distribution industry in Korea have reversals, following large daily stock price changes accompanied by large trading volumes. Research design, data, and methodology: We examined whether there were reversals after the event date when large-scale stock price changes appeared for the entire sample of distribution-related companies listed on the Korea Composite Stock Price Index from January 2004 to July 2022. In addition, we reviewed whether the reversals differed depending on abnormal trading volume on the event date. Using multiple regression analysis, we tested whether high trading volume had a significant effect on the cumulative rate of return after the event date. Results: Reversals were confirmed after the stock price shock in the Korean distribution industry and the return after the event date varied depending on the size of the trading volume on the event day. In addition, even after considering both company-specific and event-specific factors, the trading volume on the event day was found to have significant explanatory power on the cumulative rate of return after the event date. Conclusions: Reversals identified in this paper can be used as a useful tool for establishing a trading strategy.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.523-531
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• 2021

Vietnam's Oil and gas industry make a significant contribution to the Gross Domestic Product of Vietnam. The ongoing COVID-19 pandemic has hit every industry hard, but perhaps the one industry which has taken the biggest hit is the global oil and gas industry. The purpose of this article is to examine how the COVID-19 pandemic affects the share price of the Vietnam Oil and Gas industry. The event study method applied to Oil and Gas industry index data around three event days includes: (i) The date Vietnam recognized the first patient to be COVID-19 positive was January 23, 2020; (ii) The second outbreak of COVID-19 infection in the community began on March 6, 2020; (iii) The date (30/3/2020) when Vietnam announced the COVID-19 epidemic in the whole territory. This study found that the share price of the Vietnam Oil and Gas industry responded positively after the event (iii) which is manifested by the cumulative abnormal return of CAR (0; 3] = 3.8% and statistically significant at 5 %. In the study, event (ii) has the most negative and strong impact on Oil and Gas stock prices. Events (i) favor negative effects, events (iii) favor positive effects, but abnormal return change sign quickly from positive to negative after the event date and statistically significant shows the change on investors' psychology.

• Journal of Intelligence and Information Systems
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• v.18 no.2
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• pp.143-156
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• 2012

People easily believe that news and stock index are closely related. They think that securing news before anyone else can help them forecast the stock prices and enjoy great profit, or perhaps capture the investment opportunity. However, it is no easy feat to determine to what extent the two are related, come up with the investment decision based on news, or find out such investment information is valid. If the significance of news and its impact on the stock market are analyzed, it will be possible to extract the information that can assist the investment decisions. The reality however is that the world is inundated with a massive wave of news in real time. And news is not patterned text. This study suggests the stock-index invest model based on "News Big Data" opinion mining that systematically collects, categorizes and analyzes the news and creates investment information. To verify the validity of the model, the relationship between the result of news opinion mining and stock-index was empirically analyzed by using statistics. Steps in the mining that converts news into information for investment decision making, are as follows. First, it is indexing information of news after getting a supply of news from news provider that collects news on real-time basis. Not only contents of news but also various information such as media, time, and news type and so on are collected and classified, and then are reworked as variable from which investment decision making can be inferred. Next step is to derive word that can judge polarity by separating text of news contents into morpheme, and to tag positive/negative polarity of each word by comparing this with sentimental dictionary. Third, positive/negative polarity of news is judged by using indexed classification information and scoring rule, and then final investment decision making information is derived according to daily scoring criteria. For this study, KOSPI index and its fluctuation range has been collected for 63 days that stock market was open during 3 months from July 2011 to September in Korea Exchange, and news data was collected by parsing 766 articles of economic news media M company on web page among article carried on stock information>news>main news of portal site Naver.com. In change of the price index of stocks during 3 months, it rose on 33 days and fell on 30 days, and news contents included 197 news articles before opening of stock market, 385 news articles during the session, 184 news articles after closing of market. Results of mining of collected news contents and of comparison with stock price showed that positive/negative opinion of news contents had significant relation with stock price, and change of the price index of stocks could be better explained in case of applying news opinion by deriving in positive/negative ratio instead of judging between simplified positive and negative opinion. And in order to check whether news had an effect on fluctuation of stock price, or at least went ahead of fluctuation of stock price, in the results that change of stock price was compared only with news happening before opening of stock market, it was verified to be statistically significant as well. In addition, because news contained various type and information such as social, economic, and overseas news, and corporate earnings, the present condition of type of industry, market outlook, the present condition of market and so on, it was expected that influence on stock market or significance of the relation would be different according to the type of news, and therefore each type of news was compared with fluctuation of stock price, and the results showed that market condition, outlook, and overseas news was the most useful to explain fluctuation of news. On the contrary, news about individual company was not statistically significant, but opinion mining value showed tendency opposite to stock price, and the reason can be thought to be the appearance of promotional and planned news for preventing stock price from falling. Finally, multiple regression analysis and logistic regression analysis was carried out in order to derive function of investment decision making on the basis of relation between positive/negative opinion of news and stock price, and the results showed that regression equation using variable of market conditions, outlook, and overseas news before opening of stock market was statistically significant, and classification accuracy of logistic regression accuracy results was shown to be 70.0% in rise of stock price, 78.8% in fall of stock price, and 74.6% on average. This study first analyzed relation between news and stock price through analyzing and quantifying sensitivity of atypical news contents by using opinion mining among big data analysis techniques, and furthermore, proposed and verified smart investment decision making model that could systematically carry out opinion mining and derive and support investment information. This shows that news can be used as variable to predict the price index of stocks for investment, and it is expected the model can be used as real investment support system if it is implemented as system and verified in the future.

• Journal of Distribution Science
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• v.13 no.9
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• pp.37-45
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• 2015

Purpose - This paper's aim is to investigate whether or not gross profitability explains the cross-sectional variation of the stock returns in the Korean stock market. Gross profitability is an alternative profitability measure proposed by Novy-Marx in 2013 to predict cross-sectional variation of stock returns in the US. He shows that the gross profitability adds explanatory power to the Fama-French 3 factor model. Interestingly, gross profitability is negatively correlated with the book-to-market ratio. By confirming the gross profitability premium in the Korean stock market, we may provide some implications regarding the well-known value premium. In addition, our empirical results may provide opportunities for the fund distribution industry to promote brand new styles of funds. Research design, data, and methodology - For our empirical analysis, we collect monthly market prices of all the companies listed on the Korea Composite Stock Price Index (KOSPI) of the Korea Exchanges (KRX). Our sample period covers July1994 to December2014. The data from the company financial statementsare provided by the financial information company WISEfn. First, using Fama-Macbeth cross-sectional regression, we investigate the relation between gross profitability and stock return performance. For robustness in analyzing the performance of the gross profitability strategy, we consider value weighted portfolio returns as well as equally weighted portfolio returns. Next, using Fama-French 3 factor models, we examine whether or not the gross profitability strategy generates excess returns when firmsize and the book-to-market ratio are controlled. Finally, we analyze the effect of firm size and the book-to-market ratio on the gross profitability strategy. Results - First, through the Fama-MacBeth cross-sectional regression, we show that gross profitability has almost the same explanatory power as the book-to-market ratio in explaining the cross-sectional variation of the Korean stock market. Second, we find evidence that gross profitability is a statistically significant variable for explaining cross-sectional stock returns when the size and the value effect are controlled. Third, we show that gross profitability, which is positively correlated with stock returns and firm size, is negatively correlated with the book-to-market ratio. From the perspective of portfolio management, our results imply that since the gross profitability strategy is a distinctive growth strategy, value strategies can be improved by hedging with the gross profitability strategy. Conclusions - Our empirical results confirm the existence of a gross profitability premium in the Korean stock market. From the perspective of the fund distribution industry, the gross profitability portfolio is worthy of attention. Since the value strategy portfolio returns are negatively correlated with the gross profitability strategy portfolio returns, by mixing both portfolios, investors could be better off without additional risk. However, the profitable firms are dissimilar from the value firms (high book-to-market ratio firms); therefore, an alternative factor model including gross profitability may help us understand the economic implications of the well-known anomalies such as value premium, momentum, and low volatility. We reserve these topics for future research.

• Journal of Korea Technical Association of The Pulp and Paper Industry
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• v.35 no.2
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• pp.18-25
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• 2003

The adsorption of co-cationic dual polymer system was investigated as was the fiber dispersion stability of a paper stock suspension. Polyaluminum chloride(PAC) and polyamidoamine epichlorohy-drin(PAE) polymers were used as wet-end additives. The adsorbed amounts of PAE polymer in a wet stock were measured by using polyelectrolytic PCD titration. The sheet forming experiments were carried out in a standard handsheet machine. Fiber dispersion stability and relative retention were evaluated in terms of M/K non-uniformity index and sheet basis weight, respectively. The PAE polymer adsorption of Langmuir-isothermal type decreased with increasing PAC addition level. The combination of the two cationic polymers presumably exerts a site-blocking effect by the low molecular weight PAC which gives a partial charge neutralization at a minimum level of addition. From a thermodynamic view point of PAE adsorption, an increase in adsorption entropy and a decrease in train number suggests that the PAR polymer has an extended conformation structure that potentially leads to an enhancement of the fiber dispersion stability. This conclusion is supported by handsheet experiments that examined the PAC-PAE dual polymer effects on the sheet formation and retention.