• Smart Media Journal
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• v.11 no.1
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• pp.38-45
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• 2022

A lot of research is being going until this day in order to obtain stable profit in the stock market. Trading algorithms are widely used, accounting for over 80% of the trading volume of the US stock market. Despite a lot of research, there is no trading algorithm that always shows good performance. In other words, there is no guarantee that an algorithm that performed well in the past will perform well in the future. The reason is that there are many factors that affect the stock price and there are uncertainties about the future. Therefore, in this paper, we propose a model using TimeGAN that predicts future returns well and selects algorithms that are expected to have high returns based on past records of the returns of algorithms. We use TimeGAN becasue it is probabilistic, whereas LSTM method predicts future time series data is deterministic. The advantage of TimeGAN probabilistic prediction is that it can reflect uncertainty about the future. As an experimental result, the method proposed in this paper achieves a high return with little volatility and shows superior results compared to many comparison algorithms.

• Journal of Distribution Science
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• v.20 no.9
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• pp.73-81
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• 2022

Purpose: This study aimed to examine whether key audit matters (KAMs) readability influences investor reaction. Research design, data, and methodology: The signaling theory was applied to explain the behavior of investors when they receive useful information for their decisions. Data were collected from 1,866 firm-year observations from Thai listed companies in both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI) for the fiscal years of 2016-2019. The study was based on secondary data, which were collected from the SET Market Analysis and Reporting Tool (SETSMART) database and the Stock Exchange of Thailand's website (www.set.or.th). A statistical regression method was used with panel data analysis to evaluate possible associations between KAMs readability and investor reaction. The study relied on popular readability measures (Fog Index). Moreover, investor reaction was measured by absolute cumulative abnormal return and abnormal trading volume. Results: It was found that the KAMs readability has positive significance on both absolute cumulative abnormal return and abnormal trading volume. Conclusion: This study showed a significant contribution to the implication of KAMs in an emerging economy. The results reveal that more readable KAMs disclosure distributed new insights and useful information to investors and led to reducing the information gap between auditors and investors.

• Management & Information Systems Review
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• v.26
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• pp.1-26
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• 2008

Since Capital Asset Pricing Model(CAPM) was proposed in the early 1960s by William Sharpe(1964) and John Lintner(1965) researchers have investigated the validity of the model. The results of empirical researches do not show that expected returns of stocks seem to be determined solely by systematic risk of the stocks as precicted by CAPM. In this paper the relationship between transaction volume and expected returns of stocks was investigated. Empirical cross-sectional analysis about the data collected from Stock Market of Korea Exchange shows transaction volume and variability of stock returns play an important role in pricing assets. The well-known variables which were used traditionally to explain the differences of expected returns among stocks such as the size and beta of a stock seems to be unimportant in pricing assets.

• The Korea Journal of Herbology
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• v.26 no.4
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• pp.163-168
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• 2011

Objective : The purpose of this study is to determine the origin of Aquilariae Lignum. Method : Firstly identify the production areas of Aquilariae Lignum and its trading status with China in Chinese history through Chinese historical books such as Twenty-Five Histories(二十五史) and the records of the Chosun Dynasty and then, compare the distribution of the genus Aquilaria in the concerned areas. Result : Since the records in the NanfangCaomuZhuang(南方草木狀) written in 304 saying that Aquilariae Lignum was produced in Vietnam and had white flowers, Vietnam had led production and trading of Aquilariae Lignum until Qing Dynasty(淸代). Even though Thailand traded Aquilariae Lignum during Qing Dynasty, however, the volume was at a low level. Aquilariae Lignum from southern Thailand, Malaysia and Indonesia was rated as low quality and low-priced because of its fishy smell and strong flavor. Conclusion : These results show that the origin of Aquilariae Lignum comes from Vietnam and this species is distinguished from the ones of Indodesia or Malaysia.

• Journal of the Korean Society of Costume
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• v.54 no.5
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• pp.139-153
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• 2004

The first purpose of this study was to compare the fashion zones and fashion brands on the floors in small and medium volume department store with those of big department stores within adjacent trading area. The second purpose was to find out similarity and differentiation of near-by department stores. The third one was to propose the future fashion marketing strategies of the department stores. The methods used were references, internet, field observation, and interview in 2002. Eight department stores within adjacent trading area were classified and analysed In "Gangnam division", "Seocho division＇. and "Youngdeungpo division". The results were as follows : Firstly, there was a low relationship between the degrees of brand equalization of each department store in the "Gangnam, Seocho. and Youngdeungpo division". Secondly, there was an alteration on the floor layout of each department store. It was layed out in a way that allowed for customers, who wanted to just purchase specific items, to go upstairs and look around several stores, which allowed for not only rise in the amount of sales but also offer the convenience of one stop shopping for the customers. Thirdly I proposed several marketing strategies such as lifestyle marketing, relationship marketing, and compile marketing which solves everyday life agenda. I also proposed the solution selling education to develop service education of salesperson. I finally proposed the overriding priority policy by sales record of each store.licy by sales record of each store.

• Journal of the Korea Society of Computer and Information
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• v.21 no.12
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• pp.107-114
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• 2016

Web system helps high-performance processing for big-data analysis and practical use to make various information using IT resources. The government have started the RPS system in 2012. The system invigorates the electricity production as using renewable energy equipment. The government operates system gathered big-data with various related information system data and the system users are distributed geographically. The companies have to fulfill the system, are available to purchase the REC to other electricity generation company sellers to procure REC for their duty volumes. The REC market operates single auction methods with users a competitive price. But the price have the large variation with various user trading strategy and sellers situations. This papler proposed RPS system modeling and simulation in web environment that is modeled in geographically distributed computing environment for web user with DEVS W/S. Web simulation system base on web service helps to analysis correlation and variables that act on trading price and volume within RPS big-data and the analysis can be forecast REC price.

• Management & Information Systems Review
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• v.34 no.1
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• pp.65-80
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• 2015

In previous studies concerning turnover, they argue individual stock's turnover must be identical to market portfolio's turnover under one condition where 2 funds separation theorem holds. In this kind of world, all market participants hold and trade the same portfolio and this should be only market portfolio. If one's trading portfolio's shape is different from market portfolio's, this would mean he or she has an advantage over others in information and this kind of information would be private. In accordance with this theory, we develop a metric which measures how far one's trading portfolio from market's and name it as Stock Selection by Investor(SSI). We apply this measurement to the various types of investor groups classified as individual, institutional and foreign who participate in Korea stock market. To test the validity of measure, we regress price ratio on this measurement using SUR method. As a result, individual investor group shows large number in SSI, but the coefficient in regression is not significant and economically meaningless. In case of institutional investor group, the coefficient proves to be significantly negative. We can infer from this fact that their trading is somehow far from informed trading. Stock selection activity by foreign investor groups proves to be informed trading by showing significantly positive coefficient and the magnitude of coefficient is economically meaningful, especially in sell activity.

• Asia-Pacific Journal of Business
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• v.11 no.2
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• pp.133-143
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• 2020

Purpose - This study seeks to summarize the tax changes in stock trading and analyze K-OTC stock trading data in 2017 and 2018 to infer the effects of the application of capital gains taxes by individual investors. Design/methodology/approach - This study analyzes the case of the expansion of the 2018 capital gains tax exemption in the K-OTC market, which exempts capital gains tax on the proceeds from the sale of individual investors of certain stocks under the temporary special law. Findings - In the K-OTC market, the amount of transactions has expanded since the capital gains tax exemption in 2018, but the volume of transactions and transaction turnover have decreased. In particular, the result of lower transaction turnover after the expansion is contrary to expectations. To control the macroscopic effects of the stock market, further analyses the transactions of capital gains tax-exempt stocks and non-exempt stocks. The turnover rate of exemption stocks is higher than that of the non-exempt stocks. In the case of transaction turnover, the two results are not consistent. However, the latter result is more meaningful because the comparison of exempt and non-exempt reduces distortion by macro effects. Research implications or Originality - To mitigate the impact of capital gains taxes on stock market, government authorities need to consider the gradual expansion of the scope of taxation, the application of separate taxation in the introduction of capital gains, the reduction tax rate on transfer income of listed shares, and the reduction tax rate on long-term holdings.

• The Korean Journal of Financial Management
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• v.26 no.1
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• pp.65-94
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• 2009

The event of change in KOSPI 200 Index composition is one of the main subjects for the test of EMH. According to EMH, when a certain event is not related with firm's fundamental value, stock price should not change after the announcement of news. This hypothesis leads us to the conclusion of horizontal demand curve of stock. This logic was questioned by Shleifer(1986) and argued that downward sloping demand curve hypothesis was supported. But Harris and Gruel(1986) found a different empirical evidence that price reversal occurs in the long run, which is called price pressure hypothesis. They argued that short term price effect by large block trading (price pressure) is offset in the long run because these event is unrelated to fundamental value. Therefor, they argued that EMH can not be rejected in the long run. Until now, there are two empirical studies with Korean market data in this area. Using a data with same time period of $1996{\sim}1999$, Kweon and Park(2000) and Ahn and Park(2005) showed that stock price or beta is not significantly affected by change in index composition. This study retested this event expanding sample period from 1996 to 2006, and analyzed why this event was considered an uninformative events in the preceding studies. We analyzed a market impact by separating samples according to firm size and market condition. In case of newly enlisted firm, we found the evidence supporting price pressure hypothesis on average. However, we found the long run price effect in the sample of large firms under bearish markets. At the same time, we know that the number of samples under the category of large firms under bearish markets is relatively small, which drives the same result of supporting the hypothesis that change in index composition is a non-informative event on average. Also, the long run price effect of large size firms under bearish markets was supported by the analyses using trading volumes. On the other hand, in case of delisting from the index, we found the long run price effect but that was not supported by trading volume analyses.

• Environmental and Resource Economics Review
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• v.31 no.2
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• pp.261-290
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• 2022

Although market stabilization measures have been triggered in the K-ETS, carbon price is still under uncertainty. Considering Korea's 2030 enhanced reduction target announced in October 2021, it is crucial to have practical stabilization measures to appropriately deal with price uncertainty. This study examines the quantitative effects of a price collar, which is considered as a means of alleviating price uncertainty, on expected cumulative emissions and abatement costs. There are three main scenarios: carbon tax, emissions trading system, and emissions trading system with a price collar. Monte Carlo simulation was conducted to reflect uncertainty in emission. There are several results as follows: 1) In a price collar, domestic emission target is likely to be achieved with a lower expected abatement cost than other scenarios. In addition, there is a small amount of excess emissions in this research and it would be not critical(0.1% excess than target); 2) Prohibiting banking increases the expected abatement cost. This is because firms can not intertemporally reallocate allowances to match the firm's optimal emissions path; 3) With the adoption of a price collar, government's net revenue can be positive even if the government's purchase volume of emissions allowances is more than sales volume. This is because the government sells them at price ceiling and purchases them at price floor.