• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.605-613
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• 2020

In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.127-137
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• 2021

Mainland China area has been a long-term, major trade rival and partner of Taiwan, accounting for more than 40% of Taiwan's total annual trade exports, and so Sino-US trade friction is expected to have a significant impact on Taiwan's economy in the future. This study focuses on major bad news of Sino-US trade frictions and how it generates short-term shocks for Taiwan's equity market and fear sentiment. It further explores the mutual interpretation relationship between price changes such as VIX, Taiwan's stock market index, and the VIX ETF to identify which factors have information leadership as leading indicators. The study period covers 750 trading days from 2017/1/3 to 2020/1/31. This study finds that, when a policy news is announced, the stock market index falls significantly, the change in the trading price (net value) of the VIX ETF rises significantly, and the overprice rate significantly drops, but VIX does not, showing that fear sentiment exists in the Taiwan's market. The net value of the VIX ETF shows an information advantage as a leading indicator. This study suggests that, when the world's two largest economies clash over trade, the impact on Taiwan's equity market is inevitable, and that short-term fear effects will arise.

• 한국가스학회지
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• 제19권1호
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• pp.6-11
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• 2015

이 논문은 자동차 타이밍벨트, 등속조인트 부트, 웨더 스트립에 적용되는 고무시스템의 손상이나 내구성 약화에 대한 사례 연구를 하는 것이 목적이다. 첫 번째 사례에서는 신품의 타이밍 벨트를 교환할 때 벨트의 내구성이 떨어진 벨트를 교환하여 타이밍 벨트와 스프로킷의 마찰작용에 의해 비정상적으로 타이밍 벨트 캔버스가 마멸된 것을 확인하였다. 두 번째 사례에서는 등속 조인트에 그리스의 밀봉역할을 하는 고무 부트의 내구성이 떨어져 경화되고 갈라져 이 틈으로 그리스가 누설된 것을 확인하였다. 세 번째 사례에서는 웨더 스트립이 화학적 변화에 따른 균열로 재료 변형이 생겨 웨더 스트립 고무가 찢어졌다. 이러한 현상은 문을 닫을 때 웨더 스트립 고무를 겹쳐지게 해 운행중 외부공기가 유입되어 미세한 소음이 발생되는 것을 확인했다.따라서, 자동차에 적용되는 고무재질의 부품들의 내구성 약화나 손상으로 인한 자동차의 고장사례가 발생하지 않도록 관리하여야 한다.