• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.125-134
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• 2020

This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, book-to-market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.

• 한국철도학회:학술대회논문집
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• 한국철도학회 2008년도 춘계학술대회 논문집
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• pp.1909-1915
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• 2008

The brake systems of the rolling stocks are generally consisted of electrical and mechanical brake systems. Because of its inherent structure of the each brake system, the electrical brake system is mainly used at the high speed range while the mechanical brake system is used at the relatively lower speed range. It is desirable for the rolling stocks to apply the entire electrical brake system. However, since the brake force from electric brake system is not enough to stop the rolling stock within the legal stop distance. Therefore, the mechanical brake system is indispensable to rolling stocks. In general, the vast majority of the world trains are equipped with mechanical braking systems which use compressed air as the force to push block on to wheels or pads on to discs. These mechanical systems are known as air brake or pneumatic brakes. For the air brake system, basically huge scale air compressor is equipped and the long pipe line is complexively connected. Since mass of these air brake components, it is difficult to be a light weight equipment and the long pipe line raise the maintenance problem. In order to overcome these problems of air brake system, the hydraulic brake system is proposed in this research. The hydraulic brake system makes the whole weight of brake equipment be light and large braking force can be applied. Therefore, in this research, the validity and advantages of applying the hydraulic brake system are reviewed.

• 한국철도학회논문집
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• 제13권3호
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• pp.257-263
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• 2010

일반적으로 철도차량의 운영 유지보수 비용은 구입비용보다 높다. 따라서 철도차량의 수명주기비용(LCC)을 낮추기 위해서는 운영 및 유지보수가 용이하고 비용이 적게 드는 차량이 설계되고, 효과적이고 효율적인 운영 유지보수 지원 시스템이 공급되어야 한다. 이를 위해서 운영사는 획득초기단계에서 LCC 요구사항을제시하여 LCC가 낮은 철도차량이 설계되고 제작될 수 있도록 해야 한다. 본 연구에서는 운영사가 차량의 구매사양을 공고하고 제작사가 차량을 제작하여 공급하는 일반적인 차량의 획득절차에서 운영사와 제작사의 LCC업무 및 절차를 제시한다. 또한 이 때 사용될 수 있는 검증 가능한 LCC 산출모형을 제시한다.

• 산업공학
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• 제23권4호
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• pp.300-310
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• 2010

This paper is about an optimal investment portfolio strategy. Financial data of stocks, bonds, and savings from January 2. 2001 through October 30. 2009 were utilized in order to suggest the optimal portfolio strategies. Fundamental analysis and technical analysis were used in stocks-related strategy, whereas passive investment strategy and active investment strategy were used in bond-related strategy. The score is assigned to each stock index according to the suggested strategies and set trading rules are based on the scores. The simulation has been executed about each 29,400-portfolios and we figured out with the simulation result that 26.75% of 7,864 portfolios are more profitable than average stock market profit (22.6%, Annualized). The outcome of this research is summarized in two parts. First, it's the rebalancing strategy of portfolio. The result shows that value-oriented investment(long-term investment) strategy yields much higher than short-term investment strategies of stocks or active investment of bonds. Second, it's about the rebalancing cycle forming the portfolios. The result shows that the rate of return for the portfolio is the best when rebalancing cycle is 12 or 18 months.

• 한국산림과학회지
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• 제108권2호
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• pp.139-146
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• 2019

This study was conducted to determine the carbon (C) and nitrogen (N) distribution within tree components (i.e., stem, branches, leaves, and roots) of the Japanese larch (Larix kaempferi Carriere) plantation and natural oriental cork oak (Quercus variabilis Blume) stands. Fifteen Japanese larch and 15 oriental cork oak trees were destructively sampled to compare the C and N stocks in the components of the trees from three different regions-Hadong-gun, Hamyang-gun and Sancheong-gun-in Gyeongnam Province, South Korea. Species-specific allometric equations were developed to estimate the C and N contents in the tree components based on the diameter at breast height (DBH). There were differences in mean C and N concentrations between the Japanese larch and the oriental cork oak. The mean C concentrations of the tree componentswere significantly higher in Japanese larch than in oriental cork oak; whereas, the N concentration in the stems was significantly lower in Japanese larch than in oriental cork oak. The allometric equations developed for C and N content were significant (p < 0.05) with a coefficient of determination ($R^2$) of 0.76 to 0.99. The C and N stocks in the tree components do not appear to be affected by the species such as Japanese larch plantations and oriental cork oak stands. This study emphasizes the importance of C and N concentrations to estimate the C and N distribution according to tree components in different tree species.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.31-38
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• 2021

The study investigates the diversification behavior of Islamic stocks against US financial uncertainty. Considering limitations found in the literature, a comprehensive index of financial uncertainty (FU) is used, developed by Jurado, Ludvigson, and Ng (2015). The empirical analysis uses monthly data from four Islamic markets - Saudi Arabia, Malaysia, Indonesia, and Turkey - for the period from January 2010 to September 2019. Results of the bivariate EGARCH models show that Islamic stocks can be used for diversification purpose against the financial uncertainty of the US because the volatility of US uncertainty does not propagate in the Islamic stock markets. Moreover, findings show that the spillover effect of financial uncertainty varies with the FU forecast horizon. The spillover effect of FU increases with an increase in the FU forecast horizon and becomes significant over 3-month and 12-month periods in the case of Saudi Arabia. The current volatility of Islamic stock returns is independent of the size of shocks in past volatility. The leverage effect and asymmetry have been found in Saudi Arabia and Malaysia. The findings validate the arguments of the literature that Islamic markets are resilient facing uncertainties and perform well during crisis periods. The findings are important for investors in making better portfolio decisions.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.361-372
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• 2021

This research aimed to analyze the momentum strategy of foreign investors with the smallest trading transactions in the Indonesian stock market. This study applied a quantitative method approach using intraday transaction data of companies listed on the LQ-45 Index for March, April, and May 2017, obtained from the Indonesia Capital Market Institute (TICMI) which is a subsidiary of the Indonesia Stock Exchange (IDX). The number of companies with available data is 35 companies, consisting of 23 non-government stocks and 12 government stocks. The number of observations from the 35 companies was 8,686,030 observations where the government companies recorded 2,751, 545 and the non-government companies 1,387,016 observations. All data was then squeezed and grouped into small, medium, and large trade transaction orders. The data analysis method used was paired t-test with SPSS to analyze cumulative abnormal returns in the formulation and test periods. This study found that small foreign investors carried out momentum strategies on stocks listed on the LQ-45 Index. However, re-testing was done by separating government and non-government shares. It turned out that small foreign investors performed a momentum strategy on non-government and a contrarian strategy on government.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.737-745
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• 2021

This study aims to determine whether there are differences in the average abnormal return, trading volume activity, and trading frequency activity in pharmaceutical stocks before and after the announcement of the first case of the coronavirus (COVID-19) in Indonesia. The sample was selected using a purposive sampling method and collected as many as nine pharmaceutical companies listed on the Indonesia Stock Exchange during 2019-2020. The data used in this study were secondary data in the form of daily data on stock closing prices, Composite Stock Price Index (IHSG), stock volume trading, number of shares outstanding, and stock trading frequency. This study was an event study with an observation period of 14 days, namely seven days before and seven days after the announcement of the coronavirus's first positive case in Indonesia. Hypothesis testing employed the paired sample t-test method. Based on the results, it was found that there was no difference in the average abnormal return of pharmaceutical stocks before and after the announcement of the first case of COVID-19. However, there was a difference in the average trading volume activity and the average trading frequency activity in pharmaceutical stocks before and after the announcement of the first case of COVID-19.

• The Journal of Asian Finance, Economics and Business
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• 제8권9호
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• pp.45-52
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• 2021

Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has triggered stock market shocks. As a result of this situation, investors prefer to move their money into a safer portfolio. Therefore, in this study, we approach an efficient portfolio model using smart beta and combining others to obtain a fast method to predict investment stock returns. Smart beta is a method to selects stocks that will enter a portfolio quickly and concisely by considering the level of return and risk that has been set according to the ability of investors. A smart beta portfolio is efficient because it tracks with an underlying index and is optimized using the same techniques that active portfolio managers utilize. Using the logistic regression method and the data of 100 low volatility stocks listed on the Indonesia stock exchange from 2009-2019, an efficient portfolio model was made. It can be concluded that an efficient portfolio is formed by a group of stocks that are aggressive and actively traded to produce optimal returns at a certain level of risk in the long-term period. And also, the portfolio selection model generated using the smart beta, beta, alpha, and stock variants is a simple and fast model in predicting the rate of return with an adjusted risk level so that investors can anticipate risks and minimize errors in stock selection.

• Journal of Information Processing Systems
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• 제18권5호
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• pp.637-649
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• 2022

Investors aim to increase their profitability by investing in the stock market. An adroit strategy for minimizing related risk lies through diversifying portfolio operationalization. In this paper, we propose a six-step stocks portfolio selection model. This model is based on data mining clustering techniques that reflect the ensuing impact of the political, economic, legal, and corporate governance in Mongolia. As a dataset, we have selected stock exchange trading price, financial statements, and operational reports of top-20 highly capitalized stocks that were traded at the Mongolian Stock Exchange from 2013 to 2017. In order to cluster the stock returns and risks, we have used k-means clustering techniques. We have combined both k-means clustering with Markowitz's portfolio theory to create an optimal and efficient portfolio. We constructed an efficient frontier, creating 15 portfolios, and computed the weight of stocks in each portfolio. From these portfolio options, the investor is given a choice to choose any one option.