• 대한임베디드공학회논문지
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• 제17권1호
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• pp.51-58
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• 2022

Various studies have been conducted from the past to the present because stock price forecasts provide stability in the national economy and huge profits to investors. Recently, there have been many studies that suggest stock price prediction models using various input data such as macroeconomic indicators and emotional analysis. However, since each study was conducted individually, it is difficult to objectively compare each method, and studies on their impact on stock price prediction are still insufficient. In this paper, the effect of input data currently mainly used on the stock price is evaluated through the predicted value of the deep learning model and the error rate of the actual stock price. In addition, unlike most papers in emotional analysis, emotional analysis using the news body was conducted, and a method of supplementing the results of each emotional analysis is proposed through three emotional analysis models. Through experiments predicting Microsoft's revised closing price, the results of emotional analysis were found to be the most important factor in stock price prediction. Especially, when all of input data is used, error rate of ensembled sentiment analysis model is reduced by 58% compared to the baseline.

• 유통과학연구
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• 제12권3호
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• pp.75-83
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• 2014

Purpose - The oil price affects company value, which is the present value of the expected cash flow, by affecting the discount rate and cash flow. This study examines the nonlinear relationships between oil price and stock price using the AlphaShares Chinese Volatility Index as the threshold. Research design, data, and methodology - Data comprise daily closing values of the Shanghai Stock Exchange Composite Index, Shenzhen Stock Exchange Composite Index, and Hang Seng Index of ChinaWest Texas Intermediate crude oil spot price and AlphaShares Chinese Volatility Index from May 25, 2007 to May 24, 2012. The Threshold Error Correction Model is used. Results - The results demonstrate different relationships between the stock price index and oil price under different investor sentiments; however, the stock price index and oil price could adjust to a long-term equilibrium the long-term causality tests between them were all significant. Conclusions - The relationship between the WTI and HANG SENG Index is more significant than the Shanghai Composites Index and Shenzhen Composite Index, when using the AlphaShares Chinese Volatility Index (ASC-VIX) as the investor sentiment variable and threshold.

• The Journal of Asian Finance, Economics and Business
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• 제8권10호
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• pp.207-218
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• 2021

The present research intends to examine the herding aspect during the COVID-19 outbreak. The study is conducted to achieve specific objectives, so the underlying sampling technique is purposive sampling. The considered data source is the Pakistan Stock Exchange (PSX). Daily stock prices of 528 listed companies in PSX have been taken from the official website of PSX from 1998 to 2021. The current study envisions investigating the herding aspects for pre-pandemic and the time covering the pandemic period. The study has also targeted ten sectors of PSX. The present study's motive is to investigate investors' herding prospects before and during the pandemic in the Pakistan Stock Exchange (PSX) and its selected sectors. Daily closing stock prices of listed companies have been collected from the official website of PSX to calculate the stock returns. The Cross-Sectional Absolute Deviation (CSAD) has been used as a herding measure. Findings revealed that herding has not been observed in PSX during both time spans and even not during the bullish and bearish trends. However, robust sectoral evidence has been observed during the pandemic. It implies that investors in PSX tend to follow the crowd irrespective of making their own decisions to avoid further losses.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.885-894
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• 2021

This study aims to analyze the effect of the ratio of profitability and solvability (leverage) on the variable stock price, which is mediated (intervening) by the variable dividend policy. Using the financial reports of manufacturing companies in the consumer goods sector, we take profitability data (ROA, ROE, GPM, and NPM), solvability data (DAR, LTDER, and DER), dividend policy (DPR), and stock price (closing price) from 24 companies, which were selected as samples, from 2011 to 2018. Data was analyzed using the Structural Equation Modeling (SEM) method. The results show that profitability, solvability, and dividend policy affect changes in stock prices, respectively. On the other hand, profitability and solvability do not affect dividend policy. The indirect relationship (intervening) is assessed using a single test, resulting in a dividend policy that can intervene in the relationship between profitability and stock prices but cannot mediate the relationship between solvability and stock prices. The implication of this research is to provide knowledge to investors about the importance of knowing the company's financial performance. Companies with good financial performance will easily develop because there are sufficient funds for company operations. By analyzing financial ratios, investors can get signals to decide whether to invest in the company they want.

• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.365-373
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• 2021

This paper investigates the presence of momentum profits in the Saudi stock market. The study applied a quantitative method by utilizing monthly closing prices of 194 listed firms on Tadawal (Saudi Stock Market). The data from January 2010 to February 2019 is taken from the Tadawal market database for analysis. The sample is further divided into two equal sub-samples based on the structural changes that occurred in the Saudi stock market. Moreover, the high- and low-value traded portfolios are also constructed to examine the presence of momentum profits. Sixteen investment strategies are formed for each sample. The results show a very strong presence of momentum profits in the Saudi stock market for the full sample as well as for the sub-samples. The momentum profits are observed for a longer investment horizon. The results confirm that the short or medium-term formation of portfolios produces negative momentum returns for high-value traded stocks. The low-value traded stocks portfolios give similar results to the full sample results in terms of momentum profits. The results suggest that an investor should keep an eye on the past performance of desired stocks for at least three-nine months in which they are willing to invest.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.23-30
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• 2021

The purpose of this study is to compare the level of risk and return of Islamic stocks in the Jakarta Islamic Index (JII) with conventional stocks on the IDX30 in the period from January 2017 to July 2019. The Sharpe ratio method is used to calculate risk and stock returns. The performance of the stock portfolio is measured by comparing the risk premium portfolio with the portfolio risk that is expressed as a standard deviation of the total risk. This study uses secondary data collected by the Indonesia Stock Exchange (IDX), which provides the names of stock issuers included in the JII and IDX30 indices along with their montly closing price. The results of the descriptive analysis show that the JII Sharpe ratio index from January 2017 to July 2019 is from the minimum range of -0.28820 to a maximum range of 0.05622, while the IDX30 Sharpe ratio index from January 2017 to July 2019 is from the minimum range of -0.09290 to the maximum range of 0.17436. The results of inferential analysis using a different test show that there is a significant difference between the Sharpe ratio JII and IDX30 in measuring the performance of the stock portfolio.

• The Journal of Asian Finance, Economics and Business
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• 제9권9호
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• pp.1-8
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• 2022

This paper studies market efficiency from a weak form aspect using opening and closing prices of the Shanghai stock exchange composite index (SSEC) and Shenzhen stock exchange composite index (SZSEC) under the expected return theory. Classical methods (autocorrelation and runs test) are used to examine the features of stock returns, and little evidence against mutual independence of returns is found. We predict daily returns of SSEC and SZSEC with AR(p) and VAR(p) models (in this paper, p = 5 is taken as a one-week lag) and perform a virtual experiment on two indexes based on the predicted value of daily returns from AR(p) or VAR(p) model. From the results of AR(p) and VAR(p) for two indexes, we attempt to find out how the market efficiency level changes when the information from the other market is under consideration as we check the market efficiency level in one market. We find that SSEC in 2014-2016 and SZSEC in 2015-2016 are inefficient from the result of autocorrelation, that SSEC in 2016 and SZSEC in 2013 are not efficient from the result of runs test, that the stock market is efficient except 2005, 2009, 2010 and 2017 in SSEC and 2005, 2016 and 2017 in SZSEC and that SSEC is more influenced by SZSEC but SSEC influences SZSEC less from the result of the virtual experiment.

• 한국철도학회논문집
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• 제9권5호
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• pp.555-560
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• 2006

This study finds out and suggests success factors for the application of RIMS project through the case study of Seoul Metro and literature survey. The successful application of RIMS needs expert knowledge and concept of BOM, standardization of maintenance planning, check lists of heavy maintenance inspection, organization structure of rolling stock maintenance offices, material management system of warehousing and the process of parts repairing between offices, connection of material ordering system, problem solving of circular spare parts administration among inspection, maintenance, and material organizational units, systemic serial number management of parts with RFID, daily closing diary connected with work process chart, and sufficient period of RIMS's test run. RIMS contributes to real time management of rolling stock maintenance, transparency of management, reliability of train operation, customer satisfaction, and management innovation.

• 아태비즈니스연구
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• 제11권4호
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• pp.243-254
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• 2020

Purpose - This paper explores whether overnight returns measured from the last closing price to today's opening price explain the cross-section of stock returns. Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions. Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant. Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.

• 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.