• Management & Information Systems Review
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• v.32 no.3
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• pp.285-297
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• 2013

In this study, price discovery among the KOSPI200 markets(KOSPI200 spot, KOSPI200 Futures and The ETFs) is investigated using the vector error correction model(VECM). The main findings are as follows. KODEX200(KOSEF200), KOSPI200 spot and Futures are cointegrated in most cases. Daily data from KODEX200(KOSEF200), KOSPI200 spot and KOSPI200 futures show that the movements of the three markets are interrelated. Specially, KODEX200 contains the most information, followed by the KOSPI200 spot and futures markets. KODEX200 contribute to the price discovery process. Namely KODEX200 plays a more dominant role in price discovery than the KOSPI200 spot and futures.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.28 no.7
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• pp.97-105
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• 2014

This article examines the causality relationship among SMP, base-load share, LNG import price, and exchange rate in Korean power market during 2002~2012, using unit root test, cointegration test, and vector error correction model(VECM). The cointegration test shows that 4 variables without unit root have been in the long-run causality. As the results of ECM, SMP is analyzed to have been unilaterally caused from LNG import price and base-load share in the shot-run, while it has been unilaterally caused from LNG import price and exchange rate in the long-run. This article has the following policy implications: the adjustment of exchange rate to reduce he risk of LNG import price and the proper securement of base-load share for the long-run stability of SMP.

• Korean Journal of Remote Sensing
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• v.32 no.1
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• pp.67-71
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• 2016

The surface reflectance is essential to retrieval various indicators related land properties such as vegetation index, albedo and etc. In this study, we estimated surface reflectance using Himawari-8 / Advanced Himawari Imager (AHI) channel data. In order to estimate surface reflectance from Top of Atmosphere (TOA) reflectance, the atmospheric correction is necessary because all of the TOA reflectance from optical sensor is affected by gas molecules and aerosol in the atmosphere. We used Second Simulation of a Satellite Signal in the Solar Spectrum Vector (6SV) Radiative Transfer Model (RTM) to correct atmospheric effect, and Look-Up Table (LUT) to shorten the calculation time. We verified through comparison Himawri-8 / AHI surface reflectance and Proba-V S1 products. As a result, bias and Root Mean Square Error (RMSE) are calculated about -0.02 and 0.05.

• Journal of Distribution Science
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• v.17 no.1
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• pp.11-19
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• 2019

Purpose - We document the impact of economic policy uncertainty (EPU) in the US and China on the dynamic spillover effect of macroeconomics such as stock price, housing price in Korea. Research design, data, and methodology - We use the nine variables to analyze the effect which produces a result among the EPU indexes of the US and China on economic variables which is the consumer price index (CPI), housing purchase price composite index, housing lease price, the stock price index in banking industry, construction industry and distribution industry, and composite leading indicator from January 1995 to December 2016 with the Vector Error Correction Model. Result - The US EPU index has significantly a negative relation on the CPI, housing purchase price index, housing lease price index, the stock price index in banking industry, construction industry, and distribution industry in Korea. Conclusions - We find the dynamic effect of the EPU indexes in the US and China on the macroeconomics returns in Korea. This study has an empirical evidence that the economy market in Korea is influenced by the EPU index of the US rather than it of China. The higher EPU, the more risky the economy of in Korea.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.2
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• pp.269-275
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• 2019

This study intended to examine the relationship between inflation and unemployment rate in Indonesia during 1987 to 2018 period. The study applied a quantitative method using Vector Error Correction Model (VECM) in order to comprehensively understand the causality between inflation and unemployment rates. The data were collected from various main sources including the World Bank, Central Bank of Indonesia, and Central Bureau of Statistics (BPS). The findings showed that inflation has a one-way relationship toward unemployment in Indonesia and it occurs at the third lag. Impulse Response Function (IRF), shows that the inflation rate are fluctuating in response to the shock of unemployment. The unemployment rate responses to shocks from inflation initially increased until it is eventually diminished. It shows that the shocks caused by the impact of inflation were only in the short term. Further, inflation in the three previous lags will have consequences for the unemployment rate in the year. Lastly, both in the long run and short run, unemployment did not affect inflation rates. These findings suggest that high inflation in Indonesia is determined the rising price of basic commodities and fuel. In addition, most companies in Indonesia applying capital intensive so that employment growth in Indonesia is small.

• Agribusiness and Information Management
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• v.12 no.2
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• pp.40-54
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• 2021

Market integration and prices in pulse crops like black gram play an important role in determining the production decisions of the farmers and diversification towards high value nutritious crops. In this context, the present study explores extent of market integration and price transmission in selected major black gram markets in Andhra Pradesh using Johansen co-integration, Vector Error Correction Model and Granger causality test. The study used monthly prices data of black gram (Rs/quintal) sourced from selected markets of Srikakulam, Krishna and Kurnool spanning January, 1990 to December, 2019. The results of the study strongly buttressed the existence of co-integration and interdependence of selected black gram markets in Andhra Pradesh. However, the speed of adjustment of the prices found to be moderate in Krishna market and quite weaker in Srikakulam market and thereby prices correct a small percentage of the disequilibrium in these markets with the greatest percentage by the external and internal forces. So, it necessitates the need for future research, to investigate the influence of external and internal factors such as market infrastructure, Government policy and self-sufficient production, product characteristics and utilization towards market integration. As there exists only unidirectional causality from Krishna to Kurnool and from Krishna to Srikakulam markets, it calls for strengthening the information technology for flow of market information regularly to help the farmers for increasing their income.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.543-549
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• 2021

The stock market plays a crucial role in the growth of industry and trade, which eventually affects the economy. This paper studies the determinants of stock market development in Jordan using yearly time-series data (1978-2019). The autoregressive distributed lag approach is applied to examine co-integration, while the vector error correction model is employed to estimate (long-run and short-run) causal relationships. The results show that macroeconomic determinants such as gross domestic product, gross domestic savings, investment rate, credit to the private sector, broadest money supply, stock market liquidity, and inflation rate are important determinants of stock market development. These findings provide vital implications for policymakers in developed and emerging stock markets. First, economic development plays an imperative role in stock market development. Second, developing the banking sector is mandatory because it can significantly promote stock market development. Third, domestic investment is a significant determinant of stock market development, especially in emerging countries. However, it is vital to launch policies that lead to encourage investment and promote stock market development, and this could be done through (1) encouraging competition, (2) improving the institutional framework, and (3) removing trade blocks by establishing a mutual connection between foreign private investment entities and government authorities.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.561-572
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• 2021

This study aims to analyze the causality between GDP per capita, urbanization, and education. This also aims to determine the long-term and short-term relationships between economic urbanization, education, and GDP per capita by applying Vector Error Correction Model (VECM). Data was obtained from the World Bank and UNDP from 1990 to 2018. The estimation results showed that economic growth and education on urbanization have the strongest causality in VECM. Therefore, they are pull factors with a significant effect in the long and the short term. Some suggestions concerning policy implications were stated, and they include: forming area-based urbanization, where cities within one area are integrated, to get the impact of an agglomeration economy. Also, the government needs to accelerate the distribution of infrastructure and public facilities in various regions to avoid population density in one area due to urbanization, and government needs to pay attention to easier access to education and more equitable ones in various regions. On the contrary, after education is evenly distributed in all regions, the government needs to pay attention to transportation access and infrastructure.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.10
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• pp.15-27
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• 2022

Recently, as carbon dioxide (CO₂) emissions have increased overall and contributed to air pollution, and awareness of environmental degradation has grown. This study examines the impacts and causalities of economic globalization, economic growth, energy consumption, and capital formation on CO₂ emissions in China over the period 1971-2014. The vector error correction model (VECM) and Granger causality test on time-series data are employed to observe the interactions between CO₂ emission, economic globalization, and various economic factors, including economic growth, energy consumption, and capital formation, since China's early stage of globalization. The empirical results indicate the existence of bidirectional causalities from economic growth, gross capital formation, economic globalization, and CO₂ emission to energy consumption, and bidirectional casualty from energy consumption to CO₂ emission relationships in the short run. The findings of this study suggest that indirect bidirectional causalities from economic growth, economic globalization, and capital formation to CO₂ emission through energy consumption are observed. Moreover, economic globalization accelerates CO₂ emission in the short run but decreases it in the long run. To reduce CO₂ emissions, and to ensure sustainable economic growth and economic globalization progress, some crucial energy-saving and energy-efficiency policies, regulatory rules, and laws are recommended.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.79-90
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• 2021

This study aims to investigate the relationship between urbanization, economic growth, energy consumption, and CO2 emissions in Indonesia. The data used in the study are time-series data for the period 1985-2017; the data utilized are sourced from World Development Indicators obtained on the World Bank database. The method uses a quantitative approach that applies the vector error correction model based on the Granger causality test. The empirical results reveal that, in the short run, there is evidence that urbanization and energy consumption can causes CO2 emissions, and they also prove that urbanization can cause energy consumption. Also, other findings prove the existence of long-run relationships flowing from energy consumption, economic growth, and CO2 emissions toward urbanization, as well as the existence of the relationship flowing from urbanization, economic growth, and CO2 emissions towards energy consumption. The results of testing the relationship between economic growth and CO2 emissions reveal that the environmental Kuznets curve hypothesis is proven in Indonesia. Thus, policies are needed to limit the impact of urbanization through high awareness-raising to maintain environmental quality and greater use of energy. Also, energy conservation policies are needed in all sectors, especially the electricity, industry, and transportation sectors.